Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).
☆24Mar 26, 2021Updated 5 years ago
Alternatives and similar repositories for SMAP
Users that are interested in SMAP are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This is a repository of scripts developed as part of the 2020 ENCMP100 Section B3 lecture taught at University of Alberta.☆10Apr 2, 2020Updated 6 years ago
- ☆42Oct 24, 2020Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12May 18, 2020Updated 6 years ago
- Predicting Robinhood stocks using attention☆11Sep 4, 2019Updated 7 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆26Oct 11, 2020Updated 5 years ago
- ☆15Feb 3, 2022Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆97Jan 11, 2022Updated 4 years ago
- Cointegration Bitcoin Backtester☆18Feb 19, 2019Updated 7 years ago
- Simple corporate finance concepts like DCF, IRR, NPV, WACC, Debt, Unlevered Equity, Forward Contract Valuation.☆14Nov 15, 2018Updated 7 years ago
- Coronavirus-covid19-stocks-analysis☆16Apr 12, 2020Updated 6 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆53Aug 30, 2020Updated 6 years ago
- python package for operant conditioning☆15Updated this week
- HMMLearn used against Tesla Stocks for Prediction☆14Oct 1, 2018Updated 8 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- A backtester written in python with NumPy and Pandas, showcasing Dollar-Cost-Averaging (DCA) and DCA with portfolio rebalancing.☆12Nov 29, 2020Updated 5 years ago
- This is my profile.☆21Aug 30, 2026Updated last month
- Trellis is a Python framework for research into deep hedging☆24May 13, 2021Updated 5 years ago
- Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a …☆16Apr 23, 2024Updated 2 years ago
- ☆20Jun 8, 2018Updated 8 years ago
- ☆15May 27, 2026Updated 4 months ago
- This repository is for my master's project, A Survey of Deep Learning Architectures for Algorithmic Cryptocurrency Trading, delivered on …☆10Nov 30, 2022Updated 3 years ago
- Jupyter Notebooks from Perian Data Udemy Course☆31Jun 4, 2018Updated 8 years ago
- Some Quant ideas in Backtrader☆12Jan 12, 2022Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Code to reproduce aspects of "The Consumption Response to Trade Shocks: Evidence from the US-China Trade War"☆28Dec 27, 2019Updated 6 years ago
- Complete plug and play Black-Scholes-Merton model for option pricing with features including implied volatility and Greeks.☆10May 6, 2022Updated 4 years ago
- Tool that fetches company data, statistics, and financials for valuation and analysis, and then performs automated valuation analysis.☆25Aug 11, 2020Updated 6 years ago
- Aim: To build web apps powered by Sockets.☆11Jun 3, 2018Updated 8 years ago
- A Python library implementing Bayesian methods for solving estimation and forecasting problems in time series analysis☆21Mar 19, 2017Updated 9 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 6 years ago
- Fast bottom up trend reversal detection algorithm.☆14Oct 1, 2020Updated 6 years ago
- Applying Reinforcement learning models for stock price predictions☆25Nov 2, 2018Updated 7 years ago
- Implementation of AFML Book☆22Jul 27, 2019Updated 7 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆20Nov 12, 2020Updated 5 years ago
- Cash flow and analytics engine for mortgage-backed securities (MBS)☆13Apr 5, 2022Updated 4 years ago
- The Valuation of Convertible Bonds with Credit Risk (for Honours in Advanced Mathematics of Finance research project, at the University o…☆11Nov 23, 2012Updated 13 years ago
- Executable form of the MiFID II RTS (Regulatory Technical Standard) documents.☆18Jun 17, 2018Updated 8 years ago
- 🏥 Health tracking app for daily activities☆11Oct 1, 2019Updated 7 years ago
- ☆16Oct 4, 2016Updated 10 years ago
- ☆15Feb 25, 2018Updated 8 years ago