IgnacioAnguita / C-Design-Patterns-and-Derivatives-Pricing-recodedLinks
A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python
☆10Updated 6 years ago
Alternatives and similar repositories for C-Design-Patterns-and-Derivatives-Pricing-recoded
Users that are interested in C-Design-Patterns-and-Derivatives-Pricing-recoded are comparing it to the libraries listed below
Sorting:
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 5 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 3 weeks ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆14Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- ☆24Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆57Updated 3 years ago
- Option Strategy for Futures☆17Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Updated 4 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆63Updated 2 weeks ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated 2 years ago
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆63Updated 6 years ago
- Hawkes with Latency☆20Updated 5 years ago
- Factor Investing Library☆28Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- I use Python3 to try the experiments on the classic book <Options, Futures and other Derivatives>, the BS model and the sensitivity analy…☆31Updated 5 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year