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).
☆23Updated 4 years ago
Alternatives and similar repositories for SMAP
Users that are interested in SMAP are comparing it to the libraries listed below
Sorting:
- ☆23Updated 3 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆29Updated 4 years ago
- ☆25Updated 2 weeks ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- ☆39Updated 6 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- ☆19Updated 6 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆42Updated last year
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 2 years ago
- Notebooks that support https://python-advanced.quantecon.org☆19Updated last week
- NYU Tandon lecture slides☆30Updated 3 weeks ago
- ☆16Updated 4 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17Updated 3 years ago
- ☆14Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 7 years ago
- ☆24Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆14Updated 2 months 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
- ☆28Updated 4 years ago
- Reinforcement Learning in Finance☆15Updated 4 years ago
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆14Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago