StxGuy / Econophysics
Collection of Python scripts for the book "An Introduction to Econophysics: Contemporary Approaches with Python Simulations"
☆27Updated 8 months ago
Related projects: ⓘ
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆36Updated 5 years ago
- Examples and demos showing how to call functions from the NAG Library for Python☆60Updated 2 weeks ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆15Updated 4 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆50Updated 5 months ago
- Quantum Computing for Finance☆10Updated 6 months ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆22Updated 3 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆136Updated last year
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆60Updated 4 years ago
- 📝 Introduction to Monte Carlo methods in Finance Workshop Materials☆15Updated last year
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆59Updated last month
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Derivatives pricing in modern C++.☆12Updated 2 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- Financial Portfolio Optimization Algorithms☆52Updated 2 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆31Updated 2 years ago
- Python implementation of fractional brownian motion☆51Updated 4 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated last year
- ☆22Updated 7 months ago
- ☆63Updated 2 years ago
- Advanced Risk and Portfolio Management Resources☆23Updated 5 years ago
- Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving t…☆23Updated 3 months ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆22Updated 4 years ago
- Source files for https://python.quantecon.org☆61Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Numerical Methods in Finance☆17Updated 6 years ago
- ☆51Updated this week
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆43Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆43Updated last year
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆24Updated last year