asavine / CompFinLecture
Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
☆60Updated 4 years ago
Related projects: ⓘ
- Neural network local volatility with dupire formula☆71Updated 3 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆35Updated 3 months ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆136Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆109Updated 8 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆86Updated this week
- A Python implementation of the rough Bergomi model.☆107Updated 6 years ago
- Quant Research☆59Updated this week
- Ikaros is a free financial library built in pure python that can be used to get information for single stocks, generate signals and build…☆67Updated 3 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆94Updated 10 months ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆36Updated 5 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆164Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆100Updated 5 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 5 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆23Updated 2 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆130Updated last month
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆50Updated 5 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆76Updated last month
- Code that I show on my YouTube Channel☆90Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- FFT-based Option Pricing Methods in Python☆58Updated 6 years ago
- ☆43Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆148Updated 3 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆125Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆46Updated last year
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆79Updated 9 months ago