Alternatives and similar repositories for jumpdiff:

Users that are interested in jumpdiff are comparing it to the libraries listed below

• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated 2 weeks ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆26Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 10 months ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆15Updated 9 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆33Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆11Updated 5 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆13Updated 4 months ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆56Updated last week
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆21Updated 4 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆53Updated 2 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆48Updated 2 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• tdmdal / rl-hedge-2019
  ☆46Updated 4 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• wahido / neural_locVol
  ☆14Updated 3 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago
• rotmanfinhub / gamma-vega-rl-hedging
  ☆32Updated 8 months ago
• amwatt / thermal_optimal_path
  Dynamic lead/lag inference for time series
  ☆15Updated 5 years ago
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆11Updated 6 years ago
• TYtianyang / scbnn
  Implied volatility surface interpolation with shape-constrained bayesian neural network.
  ☆14Updated 3 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 2 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆27Updated 7 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆59Updated last month
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 4 years ago