Alternatives and similar repositories for Fractional-Brownian-Motion

Users that are interested in Fractional-Brownian-Motion are comparing it to the libraries listed below

• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆54Updated last month
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 4 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆53Updated 2 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆124Updated 6 years ago
• cvxgrp / cov_pred_finance
  ☆67Updated 3 months ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆58Updated 3 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆117Updated 2 months ago
• kaiboy05 / fbm
  Fractional Brownian Motion package
  ☆11Updated 3 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆113Updated 6 years ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• deepintomlf / mlfbook
  ☆73Updated 3 years ago
• AIM-IT4 / InterestRateModelsCpp
  ☆24Updated last year
• AlessandroGnoatto / Deep-xVA-Solver
  Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633
  ☆18Updated 5 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• shaunlinz02 / two_factor_quintic_ou
  implementation of the two-factor quintic OU model
  ☆10Updated 5 months ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• differential-machine-learning / notebooks
  Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…
  ☆144Updated 2 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆35Updated 3 years ago
• crflynn / fbm
  Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python
  ☆99Updated 4 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆17Updated 10 months ago
• brnohu / CompFin
  This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…
  ☆41Updated last year
• ck2w / baruch-mfe-lab
  Baruch MFE program quant lab
  ☆29Updated 7 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated 2 years ago
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆12Updated 7 years ago