andleb / derivatives
Derivatives pricing in modern C++.
☆12Updated 2 years ago
Related projects: ⓘ
- ☆22Updated 7 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 years ago
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 4 years ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆15Updated 3 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 4 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- ADI Finite Difference schemes for option pricing using the Heston model☆12Updated 6 years ago
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆18Updated 6 years ago
- ☆15Updated 4 years ago
- ☆18Updated 6 years ago
- Examples and demos showing how to call functions from the NAG Library for Python☆60Updated 2 weeks ago
- Heath–Jarrow–Morton model☆11Updated 3 years ago
- SOFR curve bootstrapping☆20Updated 4 years ago
- Advanced Risk and Portfolio Management Resources☆23Updated 5 years ago
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆17Updated last year
- Large Deviations for volatility options☆11Updated 5 years ago
- Arbitrage free SVI Surface☆13Updated 6 years ago
- Python repository with various projects in Machine Learning and Finance☆12Updated 2 weeks ago
- Statistical Methods in Finance☆13Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 3 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 6 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆38Updated 3 months ago
- By means of stochastic volatility models☆41Updated 4 years ago
- AAD enabled and scripting included derivatives modeling.☆19Updated this week
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 5 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 5 years ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆36Updated 5 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆10Updated last year