brnohu / CompFin
This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK’ at University of Copenhagen.
☆38Updated 11 months ago
Alternatives and similar repositories for CompFin:
Users that are interested in CompFin are comparing it to the libraries listed below
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated last month
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆98Updated 3 months ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆64Updated 5 years ago
- Quant Research☆72Updated last month
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆158Updated 3 weeks ago
- Baruch MFE program quant lab☆25Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆42Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- ☆45Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- SOFR curve bootstrapping☆25Updated 4 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆189Updated 5 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆79Updated 8 months ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆124Updated 2 months ago
- ☆71Updated 3 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆80Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆118Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated 11 months ago
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- ☆29Updated 2 years ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆70Updated 3 years ago
- QuantMinds Rough Volatility Workshop lectures☆35Updated 5 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago