INET-Complexity / ESLLinks
The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial agent-based models. The library is designed to take advantage of different computer architectures. In order to facilitate rapid iteration during model development the library can use parallel computation. Econ…
☆67Updated last week
Alternatives and similar repositories for ESL
Users that are interested in ESL are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆24Updated 4 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 3 months ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Agent-based computational Finance☆42Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆83Updated 2 years ago
- A portfolio management algorithm for the 21st century.☆92Updated 5 years ago
- Monte Carlo Submission Examples☆17Updated last year
- Talk Materials for "Convex Optimization for Finance"☆29Updated 2 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Updated 5 years ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆63Updated 5 years ago
- A limit order book matching engine written in Julia☆32Updated 3 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 2 months ago
- Financial Portfolio Optimization Algorithms☆58Updated last year
- Library for stochastic process simulation☆14Updated 2 years ago
- ☆67Updated 3 months ago
- ☆12Updated 6 months ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆34Updated 3 weeks ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆111Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- 📝 Introduction to Monte Carlo methods in Finance Workshop Materials☆21Updated 2 years ago
- Collection of projects oriented around the computational finance domain.☆27Updated 6 years ago
- The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the impl…☆20Updated last year