cmf-team / importance-sampling-2022
Creating, training and backtesting of VaR and ES models based on Importance Sampling
☆11Updated last year
Alternatives and similar repositories for importance-sampling-2022:
Users that are interested in importance-sampling-2022 are comparing it to the libraries listed below
- Repo for Crypto Option Calibration project in CMF☆12Updated 2 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 4 months ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆41Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- ☆14Updated 3 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- ☆18Updated 6 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆12Updated 3 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆20Updated 2 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
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆12Updated 7 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago