AndrewLyasoff / SMAPLinks
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).
☆24Updated 4 years ago
Alternatives and similar repositories for SMAP
Users that are interested in SMAP are comparing it to the libraries listed below
Sorting:
- ☆41Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 5 years ago
- ☆24Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆32Updated 4 years ago
- ☆34Updated 7 months ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆19Updated 3 years ago
- ☆24Updated 4 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆44Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- NYU Tandon lecture slides☆33Updated 2 weeks ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Development space for PhD in Finance☆34Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 8 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Updated 5 years ago
- ☆80Updated 4 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17Updated 3 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆15Updated last year
- ☆16Updated 5 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 8 years ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- ☆22Updated 7 years ago
- ☆28Updated 4 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆112Updated 5 years ago