Alternatives and similar repositories for importance-sampling-2022:

Users that are interested in importance-sampling-2022 are comparing it to the libraries listed below

• dolmatovas / CryptoOptionCalibration
  Repo for Crypto Option Calibration project in CMF
  ☆12Updated 2 years ago
• wahido / neural_locVol
  ☆14Updated 3 years ago
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆51Updated 3 years ago
• TYtianyang / scbnn
  Implied volatility surface interpolation with shape-constrained bayesian neural network.
  ☆15Updated 3 years ago
• lionel75013 / sabrMC
  Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide
  ☆7Updated 6 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆15Updated 9 years ago
• YalDan / JumpDetectR
  Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…
  ☆14Updated 3 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆29Updated 3 months ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆16Updated 2 years ago
• rafa-rod / vartests
  Statistical tests for Value at Risk (VaR) Models.
  ☆14Updated last year
• supreeth8 / Term_structure_modeling
  Yield curve Interpolation using cubic spline and nelson Seigel model
  ☆15Updated 5 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• yye9701 / KR_example
  ☆20Updated 2 years ago
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆38Updated 4 months ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆12Updated 7 years ago
• WLM1ke / LedoitWolf
  Ledoit-Wolf covariance matrix estimator of stock returns
  ☆42Updated 5 years ago
• jgatheral / RoughVolatilityWorkshop
  QuantMinds Rough Volatility Workshop lectures
  ☆30Updated 3 months ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆28Updated 7 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 4 months ago
• edoberton / heston_nandi_garch
  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
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks
  Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…
  ☆18Updated 4 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 5 years ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆30Updated last year
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆13Updated 4 years ago
• QuantMaverick / options_SABR_model
  This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…
  ☆16Updated 6 years ago