asavine / CompFinanceLinks
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
☆186Updated 4 years ago
Alternatives and similar repositories for CompFinance
Users that are interested in CompFinance are comparing it to the libraries listed below
Sorting:
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆241Updated 8 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆41Updated last year
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆24Updated 5 years ago
- My codes and notes for Joshi's book: c++ design patterns and derivatives pricing☆141Updated 11 years ago
- A Python implementation of the rough Bergomi model.☆126Updated 7 years ago
- ☆53Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 3 months ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆50Updated 9 years ago
- Quant Research☆90Updated last month
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆202Updated 10 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- NYU Math-GA 2048: Scientific Computing in Finance☆109Updated 5 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆133Updated 4 years ago
- C++ implementation of options pricing models☆76Updated 7 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆165Updated 6 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 3 months ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆50Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Public code for our paper https://ssrn.com/abstract=3958331☆26Updated 3 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆60Updated 2 years ago
- We implement the paper: Deep Learning Volatility☆196Updated 5 years ago
- C++ Trading Algorithm Backtest Environment☆92Updated 7 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆101Updated 6 years ago