NVIDIA / accelerated-quant-financeLinks
Quantitative finance example applications on GPUs using portable programming models.
☆75Updated 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:
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 2 months ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆186Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆48Updated 2 months ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- ☆47Updated last year
- Examples and demos showing how to call functions from the nAG Library for Python☆66Updated 9 months ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆117Updated 4 years ago
- High-performance option pricing and volatility modeling library.☆65Updated 2 weeks ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.☆79Updated last year
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆24Updated 4 years ago
- Python repository with various projects in Machine Learning and Finance☆13Updated 3 months ago
- csp is a high performance reactive stream processing library, written in C++ and Python☆352Updated this week
- Tool to support backtests☆46Updated last week
- A collection of open-source GPU accelerated Python tools and examples for quantitative analyst tasks and leverages RAPIDS AI project, Num…☆308Updated 10 months ago
- Implementation of "The Metropolis Algorithm: Theory and Examples"☆33Updated 6 months ago
- ☆12Updated 5 months ago
- ☆157Updated last year
- The official Python client library for Databento☆202Updated this week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆240Updated 6 months ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 6 months ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆265Updated last week
- PyKX is a Python first interface to the worlds fastest time-series database kdb+ and it's underlying vector programming language q.☆56Updated 2 months ago
- Financial Data Pattern Recognition Using Compression Techniques☆15Updated 2 years ago
- High performance, low latency high frequency trading system written from scratch in C++☆47Updated last year
- A dashboard to visualize cryptocurrency implied volatility surfaces constructed with option data from Binance.☆64Updated 3 months ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆185Updated last year