asavine / ScriptingLinks
Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley, 2021)
☆24Updated 4 years ago
Alternatives and similar repositories for Scripting
Users that are interested in Scripting are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆186Updated 3 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆42Updated last month
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆40Updated last year
- Model Calibration with Neural Networks☆48Updated 7 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆50Updated 9 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated last week
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 5 years ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 5 years ago
- The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial…☆65Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated last month
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated 2 years ago
- ☆50Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 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…☆23Updated 4 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- ☆24Updated last year
- An xVA quantitative library written in python using tensorflow☆18Updated 3 weeks ago
- Derivatives pricing in modern C++.☆15Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- ☆17Updated 3 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆59Updated 2 years ago