asavine / Scripting
Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley, 2021)
☆19Updated 3 years ago
Related projects: ⓘ
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆32Updated 10 months ago
- Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine☆18Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 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
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 4 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated last year
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Model Calibration with Neural Networks☆45Updated 6 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆60Updated 4 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆24Updated last year
- QuantLib with adjoint algorithmic differentiation (AAD)☆45Updated 8 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 3 months ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆15Updated 4 years ago
- AAD enabled and scripting included derivatives modeling.☆19Updated this week
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆22Updated 3 years ago
- Python repository with various projects in Machine Learning and Finance☆12Updated 2 weeks ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆45Updated 2 years ago
- Financial Strategy Resources☆12Updated 2 years ago
- Tutorials about Machine Learning and Deep Learning☆29Updated 5 years ago
- ☆22Updated 7 months ago
- ☆16Updated 2 years ago
- ☆15Updated 4 years ago
- Hawkes with Latency☆16Updated 3 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- Derivatives pricing in modern C++.☆12Updated 2 years ago