JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
☆49Feb 10, 2023Updated 3 years ago
Alternatives and similar repositories for jumpdiff
Users that are interested in jumpdiff are comparing it to the libraries listed below
Sorting:
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- kramersmoyal: Kramers-Moyal coefficients for stochastic data of any dimension, to any desired order☆75Dec 26, 2024Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆56Aug 6, 2025Updated 6 months ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Oct 10, 2020Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- Estimating high-order interactions in time series data of any dimension☆17Sep 5, 2025Updated 5 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆48Jun 18, 2025Updated 8 months ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Feb 25, 2024Updated 2 years ago
- Economic models and things in Pytorch☆21Nov 30, 2017Updated 8 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- ☆12Apr 17, 2021Updated 4 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 6 months ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆15Dec 2, 2023Updated 2 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- Implementation of N-Grammer in Flax☆17Nov 3, 2022Updated 3 years ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- This is a read-only mirror of the CRAN R package repository. actuar — Actuarial Functions and Heavy Tailed Distributions. Homepage: htt…☆10Jul 8, 2025Updated 7 months ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Mar 8, 2018Updated 7 years ago
- DualAQD: Dual Accuracy-quality-driven Prediction Intervals. IEEE TNNLS 2023.☆11Sep 25, 2025Updated 5 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆89Jan 11, 2022Updated 4 years ago
- Option Pricing with Machine Learning Methods☆15Jun 18, 2024Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Sep 22, 2024Updated last year
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- This repository contains code for the paper: S Bergsma, T Zeyl, JR Anaraki, L Guo, C2FAR: Coarse-to-Fine Autoregressive Networks for Prec…☆13Dec 7, 2023Updated 2 years ago
- ☆15Oct 18, 2024Updated last year
- Tutorial on survival modeling with omics data☆11Mar 12, 2025Updated 11 months ago
- Volatility Decomposition of Asset Price Time Series☆11May 5, 2019Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- ☆11Sep 1, 2016Updated 9 years ago
- A PyTorch exercise in implementing a continuous time LSTM to simulate Neural Hawkes Process based on the paper by Hongyuan Mei and Jason …☆11Apr 11, 2023Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆57Jan 5, 2023Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Jan 17, 2021Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- ☆70Jan 13, 2026Updated last month
- ☆10Jun 8, 2017Updated 8 years ago