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 9 months ago
Alternatives and similar repositories for CompFin:
Users that are interested in CompFin are comparing it to the libraries listed below
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆96Updated 2 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆60Updated last week
- Quant Research☆69Updated last week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated 2 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- Python Code for Quantitative Finance Papers☆39Updated 5 months ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- ☆45Updated last year
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆64Updated 3 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆110Updated 2 weeks ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆180Updated 4 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆202Updated last month
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- SOFR curve bootstrapping☆23Updated 4 years ago
- QuantMinds Rough Volatility Workshop lectures☆32Updated 4 months ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆71Updated 3 weeks ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆12Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆41Updated last year
- Public code for our paper https://ssrn.com/abstract=3958331☆24Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆63Updated 2 months ago