CDouglasHoward13 / MetropolisLinks
Implementation of "The Metropolis Algorithm: Theory and Examples"
☆34Updated 2 months ago
Alternatives and similar repositories for Metropolis
Users that are interested in Metropolis are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆190Updated 4 years ago
- ☆73Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆87Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Updated 3 months ago
- Code for the paper "How to use the Sharpe ratio"☆85Updated last month
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆49Updated 3 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆245Updated 11 months ago
- Tool to support backtests☆49Updated this week
- ☆80Updated 4 years ago
- Monte Carlo Submission Examples☆17Updated last year
- An open-source, lightweight, and blazing-fast financial machine learning library built with Numba. Process raw trades, generate advanced …☆83Updated 4 months ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆68Updated 6 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆122Updated 3 months ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆24Updated last year
- 📦 Python library for Stochastic Processes Simulation and Visualisation☆353Updated 9 months ago
- ☆70Updated 7 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆106Updated 10 months ago
- High-performance option pricing and volatility modeling library.☆77Updated 5 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆43Updated last year
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆95Updated 4 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆100Updated 2 weeks ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆83Updated 2 years ago
- World beating online covariance and portfolio construction.☆311Updated 3 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last week
- Portfolio Construction and Risk Management book's Python code.☆172Updated last week
- ☆141Updated 2 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
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆61Updated 3 years ago