732jhy / Fractional-Brownian-Motion
Python implementation of fractional brownian motion
☆59Updated 4 years ago
Alternatives and similar repositories for Fractional-Brownian-Motion:
Users that are interested in Fractional-Brownian-Motion are comparing it to the libraries listed below
- ☆19Updated 6 years ago
- Fractional Brownian Motion package☆12Updated 2 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆48Updated 2 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- ☆63Updated last month
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 6 months ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- ADI Finite Difference schemes for option pricing using the Heston model☆17Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- Python implementation of ARFIMA process with an aim to simulate series.☆20Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python☆97Updated 3 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆24Updated 10 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Python codes for Introduction to Computational Stochastic PDE☆41Updated last month
- We implement the rough Heston model☆14Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆97Updated 2 months ago