aafulei / book-stochastic-calculus-for-finance
My answers to exercises in Stochastic Calculus for Finance by Steven E. Shreve.
☆26Updated last year
Related projects ⓘ
Alternatives and complementary repositories for book-stochastic-calculus-for-finance
- Solutions for the exercise problems of Steven E. Shreve's Stochastic Calculus for Finance☆34Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆34Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆57Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆115Updated 6 years ago
- Implementation of financial models in pricing derivatives and implementation of python object oriented programming (OOP) features: 1. Fi…☆15Updated 6 years ago
- Quant finance scripts☆15Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆59Updated 4 years ago
- ☆66Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆151Updated 3 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆125Updated 5 months ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- An optimal trading trajectory solver.☆24Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Neural network local volatility with dupire formula☆73Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆49Updated 2 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 3 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆30Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆37Updated last year
- Basic Limit Order Book functions☆20Updated 6 years ago
- ☆29Updated 6 months ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆102Updated last week
- This repo contains the code for the reinforcement learning course project https://github.com/cuhkrlcourse☆11Updated 4 years ago