Andres-Hernandez / CalibrationNNLinks
Model Calibration with Neural Networks
☆48Updated 7 years ago
Alternatives and similar repositories for CalibrationNN
Users that are interested in CalibrationNN are comparing it to the libraries listed below
Sorting:
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- ☆19Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆41Updated 7 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 months ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- My replication of financial papers.☆19Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆14Updated 10 months ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆125Updated 7 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆109Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago