ZewenShen / hdpLinks
A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method
☆28Updated 5 years ago
Alternatives and similar repositories for hdp
Users that are interested in hdp are comparing it to the libraries listed below
Sorting:
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated 3 weeks ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆19Updated 7 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆55Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆16Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Updated 7 years ago
- Quant finance scripts☆16Updated 3 months ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆65Updated 5 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Run hierarchical risk parity algorithms☆47Updated this week
- ☆12Updated 2 years ago