asavine / xlCppTutorialLinks
Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine
☆20Updated 3 years ago
Alternatives and similar repositories for xlCppTutorial
Users that are interested in xlCppTutorial are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆186Updated 4 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆24Updated 5 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆41Updated last year
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- ☆53Updated last year
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆100Updated 2 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆50Updated 9 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆241Updated 8 months ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 3 months ago
- AAD enabled and scripting included derivatives modeling.☆22Updated 2 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- C++ implementation of options pricing models☆76Updated 7 years ago
- Use the Finite Difference method to price European, American and Bermudan options.☆22Updated 5 years ago
- An Excel addin for QuantLib.☆18Updated last year
- Derivatives pricing in modern C++.☆16Updated 3 years 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
- Quant Research☆90Updated last month
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆14Updated 3 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- A Python implementation of the rough Bergomi model.☆126Updated 7 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆165Updated 6 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆109Updated 5 years ago
- Reimplementing QuantLib examples by Python☆66Updated 3 years ago
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆202Updated 10 months ago