NVIDIA / accelerated-quant-financeLinks
Quantitative finance example applications on GPUs using portable programming models.
☆93Updated last year
Alternatives and similar repositories for accelerated-quant-finance
Users that are interested in accelerated-quant-finance are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆190Updated 4 years ago
- High performance, low latency high frequency trading system written from scratch in C++☆55Updated 2 years ago
- Implementation of "The Metropolis Algorithm: Theory and Examples"☆34Updated 3 months ago
- ☆117Updated 3 months ago
- PyKX is a Python first interface to the worlds fastest time-series database kdb+ and it's underlying vector programming language q.☆60Updated last week
- Examples and demos showing how to call functions from the nAG Library for Python☆68Updated last year
- Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.☆134Updated last year
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆68Updated 6 years ago
- ☆51Updated last year
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆48Updated 7 months ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆49Updated 3 months ago
- A collection of open-source GPU accelerated Python tools and examples for quantitative analyst tasks and leverages RAPIDS AI project, Num…☆310Updated last year
- ☆141Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆123Updated 3 months ago
- ☆167Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Updated 4 months ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- C++ implementation of rBergomi model☆25Updated 7 years ago
- High-performance option pricing and volatility modeling library.☆77Updated 5 months ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Updated 5 years ago
- The official Python client library for Databento☆241Updated 2 weeks ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆245Updated last year
- QuantLib with AAD☆35Updated this week
- ☆140Updated 4 years ago
- QuantMinds Rough Volatility Workshop lectures☆66Updated 5 months ago
- This code is for the book☆388Updated 10 months ago
- csp is a high performance reactive stream processing library, written in C++ and Python☆381Updated this week
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆97Updated 5 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆43Updated last year
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆356Updated 2 months ago