C++ implementation of rBergomi model
☆27Jul 4, 2018Updated 7 years ago
Alternatives and similar repositories for rBergomi
Users that are interested in rBergomi are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆17Oct 25, 2023Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆142Sep 17, 2018Updated 7 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆65Feb 21, 2026Updated 3 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 7 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Code for the paper Volatility is (mostly) path-dependent☆76Mar 22, 2024Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- Neural network local volatility with dupire formula☆81Jun 15, 2021Updated 4 years ago
- Iterated integral signature calculations☆120Feb 16, 2026Updated 3 months ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆53Aug 30, 2020Updated 5 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 8 years ago
- Python implementation of fractional brownian motion☆66Aug 17, 2020Updated 5 years ago
- We implement the paper: Deep Learning Volatility☆211May 10, 2020Updated 6 years ago
- Paper published in the Journal of Investment Management, co-authored with Sanjiv R. Das☆13Oct 4, 2017Updated 8 years ago
- Tutorials about Machine Learning and Deep Learning☆29Nov 9, 2018Updated 7 years ago
- Brownian Motion Lab☆17Feb 14, 2024Updated 2 years ago
- Features and labels engineering of raw data of quotes of several stocks.☆32Oct 9, 2019Updated 6 years ago
- Tensorflow implementation of Shearlab, including a python wrapper of the Julia Shearlab APi☆12Apr 22, 2021Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22May 25, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 7 years ago
- Julia package for scenario generation for stochastic programs with tail risk measure☆11Nov 16, 2022Updated 3 years ago
- High performance hybrid Monte Carlo simulation☆10May 9, 2026Updated 2 weeks ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆19Jul 19, 2021Updated 4 years ago
- ☆16Oct 7, 2019Updated 6 years ago
- Keras Implementation of PPO to solve OpenAI Gym Environments☆16May 15, 2018Updated 8 years ago
- simulations in J☆15Dec 9, 2017Updated 8 years ago
- Examples of using SparklingPandas and Pandas with PySpark☆16Aug 6, 2015Updated 10 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- The Rational-Macro Agent Based Model. A Python (multi-agent) reinforcement learning interface of the "CATS" model.☆10Dec 30, 2024Updated last year
- ☆12Dec 21, 2022Updated 3 years ago
- ☆19Jun 11, 2020Updated 5 years ago
- Scenarios generator considering space and time dependency. Includes conditional quantile regressions and copula approach.☆13Jun 16, 2016Updated 9 years ago
- Just-in-time compilation for stochastic differential equations☆14Apr 24, 2026Updated last month
- implementation of the two-factor quintic OU model☆14Mar 19, 2025Updated last year
- esig python package☆53Dec 17, 2024Updated last year