Alternatives and similar repositories for InterestRateModelsCpp:

Users that are interested in InterestRateModelsCpp are comparing it to the libraries listed below

• nburgessx / OxfordMBA
  Financial Strategy Resources
  ☆15Updated 2 years ago
• cantaro86 / python-machine-learning-book-2nd-edition
  The "Python Machine Learning (2nd edition)" book code repository and info resource
  ☆14Updated 6 years ago
• oumarndiaye / Projet_QF_partie_2
  Vanna-volga pricer for fx options
  ☆9Updated 6 years ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 4 years ago
• AIM-IT4 / QuantitativeDerivativeModels
  ☆45Updated last year
• supreeth8 / Term_structure_modeling
  Yield curve Interpolation using cubic spline and nelson Seigel model
  ☆15Updated 5 years ago
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆26Updated 4 years ago
• AIM-IT4 / StochasticModelsAssetPricing
  ☆18Updated last year
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆23Updated 4 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated this week
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• omartinsky / HJM
  Heath–Jarrow–Morton model
  ☆11Updated 4 years ago
• LechGrzelak / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆12Updated 2 years ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• JackJacquier / StatsForFinance
  Statistical Methods in Finance
  ☆14Updated 3 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• luphord / longstaff_schwartz
  A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.
  ☆41Updated last year
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• nburgessx / QuantResearch
  Quant Research
  ☆71Updated last month
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated 2 months ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆67Updated last month
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆44Updated 5 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …
  ☆10Updated 2 years ago
• asridi / DML-Calibration-Heston-Model
  Applying Differential Machine Learning to Calibrate Heston Model
  ☆16Updated last year
• rbeeli / dynamic_conditional_beta
  Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
  ☆16Updated 5 years ago
• luphord / yield_curve_dynamics
  A cursory look at the dynamics of zero coupon bond yield curves.
  ☆11Updated 2 years ago
• asaficontact / FX_forecasting_model
  Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
  ☆31Updated 2 years ago