JackJacquier / StatsForFinanceLinks
Statistical Methods in Finance
☆14Updated 3 years ago
Alternatives and similar repositories for StatsForFinance
Users that are interested in StatsForFinance are comparing it to the libraries listed below
Sorting:
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- ☆16Updated 5 years ago
- ☆25Updated 4 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
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆100Updated 8 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- ☆19Updated 7 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Volatility is Rough☆9Updated 2 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆19Updated last year
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆16Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 2 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year