Andres-Hernandez / CalibrationNN
Model Calibration with Neural Networks
☆46Updated 6 years ago
Alternatives and similar repositories for CalibrationNN:
Users that are interested in CalibrationNN are comparing it to the libraries listed below
- ☆19Updated 6 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆13Updated 4 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- ☆10Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- NYU Tandon lecture slides☆31Updated last week
- ☆13Updated 5 years ago
- ☆17Updated 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
- Development space for PhD in Finance☆33Updated 5 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago