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:
- ☆27Updated last month
- 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
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- ☆40Updated 6 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆19Updated 7 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆14Updated 5 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- ☆16Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- ☆14Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Notebooks that support https://python-advanced.quantecon.org☆19Updated 3 weeks ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- ☆37Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆16Updated last year
- ☆23Updated 3 years ago
- ☆14Updated 5 years ago