asavine / CompFinLecture
Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
☆62Updated 5 years ago
Alternatives and similar repositories for CompFinLecture:
Users that are interested in CompFinLecture are comparing it to the libraries listed below
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆138Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆38Updated 8 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆95Updated 3 weeks ago
- A Python implementation of the rough Bergomi model.☆116Updated 6 years ago
- Quant Research☆68Updated last week
- ☆49Updated 8 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆152Updated last month
- My Quant Research Papers (incl. Coding & Excel Examples)☆107Updated 2 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆53Updated this week
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆106Updated 5 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆24Updated 3 years ago
- Ikaros is a free financial library built in pure python that can be used to get information for single stocks, generate signals and build…☆66Updated 3 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 5 months ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- ☆45Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Python repository with various projects in Machine Learning and Finance☆12Updated this week
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- ☆63Updated last week
- Statistical Jump Models in Python, with scikit-learn-style APIs☆57Updated last month
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆153Updated 4 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago