asavine / CompFinanceLinks
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
☆190Updated 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 6 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆245Updated last year
- My codes and notes for Joshi's book: c++ design patterns and derivatives pricing☆150Updated 11 years ago
- ☆56Updated last year
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆43Updated last year
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Updated 3 months ago
- Quant Research☆101Updated this week
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆37Updated 6 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- A Python implementation of the rough Bergomi model.☆139Updated 7 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆112Updated 5 years ago
- C++ implementation of rBergomi model☆25Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆206Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆47Updated 7 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
- We implement the paper: Deep Learning Volatility☆203Updated 5 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
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- C++ implementation of options pricing models☆76Updated 8 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆173Updated 7 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆107Updated 10 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last week
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆119Updated 6 years ago
- Derivatives pricing in modern C++.☆16Updated 3 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆141Updated 2 years ago