asavine / CompFinLectureLinks
Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
☆68Updated 6 years ago
Alternatives and similar repositories for CompFinLecture
Users that are interested in CompFinLecture are comparing it to the libraries listed below
Sorting:
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆138Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆124Updated 2 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆43Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Updated 3 months ago
- ☆80Updated 4 years ago
- Quant Research☆100Updated last week
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆190Updated 4 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆119Updated 6 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆112Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆107Updated 10 months ago
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆44Updated 2 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆173Updated 7 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 3 weeks ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆245Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- ☆47Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆47Updated 7 months ago
- We implement the paper: Deep Learning Volatility☆203Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago