cantaro86 / Kalman-and-Bayesian-Filters-in-PythonLinks
Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.
☆37Updated 6 years ago
Alternatives and similar repositories for Kalman-and-Bayesian-Filters-in-Python
Users that are interested in Kalman-and-Bayesian-Filters-in-Python are comparing it to the libraries listed below
Sorting:
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Quant Research☆86Updated 3 weeks ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- ☆24Updated last year
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆123Updated 6 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆196Updated 9 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆82Updated last year
- Code that I show on my YouTube Channel☆101Updated 2 years ago
- ☆73Updated 3 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆109Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆237Updated 6 months ago
- ☆46Updated last year
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆41Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- ☆231Updated last year
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 6 months ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆186Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Quantamental finance research with python☆149Updated 3 years ago
- ☆18Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆171Updated last week
- Ikaros is a free financial library built in pure python that can be used to get information for single stocks, generate signals and build…☆67Updated 4 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆131Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆88Updated 5 months ago