asavine / CompFinanceLinks
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
☆188Updated 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☆68Updated 5 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆244Updated 10 months ago
- My codes and notes for Joshi's book: c++ design patterns and derivatives pricing☆143Updated 11 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆42Updated last year
- A Python implementation of the rough Bergomi model.☆134Updated 7 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated last month
- ☆55Updated last year
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆204Updated last year
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- We implement the paper: Deep Learning Volatility☆201Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Quant Research☆95Updated 3 weeks ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆38Updated 6 years 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
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆110Updated 5 years ago
- C++ implementation of options pricing models☆76Updated 8 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆46Updated 5 months ago
- ☆248Updated last year
- ☆43Updated 10 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated 2 weeks ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆168Updated 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
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆101Updated 9 months 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
- Python for Finance module for Imperial MSc in Mathematics and Finance☆110Updated 3 weeks ago
- C++ Trading Algorithm Backtest Environment☆95Updated 7 years ago