Alternatives and similar repositories for CompFin

Users that are interested in CompFin are comparing it to the libraries listed below

• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆118Updated 2 months ago
• jgatheral / RoughVolatilityWorkshop
  QuantMinds Rough Volatility Workshop lectures
  ☆48Updated 2 weeks ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆90Updated 6 months ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆24Updated 7 years ago
• nburgessx / QuantResearch
  Quant Research
  ☆86Updated 2 weeks ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆176Updated 2 weeks ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• ck2w / baruch-mfe-lab
  Baruch MFE program quant lab
  ☆29Updated 7 years ago
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆40Updated 11 months ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆50Updated 6 years ago
• kangzhan / SVI-Surface
  Arbitrage free SVI Surface
  ☆14Updated 7 years ago
• AIM-IT4 / QuantitativeDerivativeModels
  ☆46Updated last year
• amuguruza / NN-StochVol-Calibrations
  We implement the paper: Deep Learning Volatility
  ☆195Updated 5 years ago
• nburgessx / SwapsBook
  Low Latency Interest Rate Markets – Theory, Pricing and Practice
  ☆241Updated 7 months ago
• attack68 / book_irds3
  Code repository for Pricing and Trading Interest Rate Derivatives
  ☆99Updated 2 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆44Updated 2 years ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆51Updated 5 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆125Updated 7 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆31Updated 5 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆13Updated 6 years ago
• remis-thoughts / svi-zeliade
  Fitting an SVI model using Zeliade's method in Python with Pandas
  ☆13Updated 10 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• asavine / CompFinLecture
  Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
  ☆67Updated 5 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆17Updated last year
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆120Updated last year
• thedatabeat / SVI
  ☆52Updated 8 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆26Updated 5 years ago