cvxgrp / cvx_opt_risk_neutralLinks
Convex optimization over risk-neutral probabilities.
☆15Updated 5 years ago
Alternatives and similar repositories for cvx_opt_risk_neutral
Users that are interested in cvx_opt_risk_neutral are comparing it to the libraries listed below
Sorting:
- Covariance prediction via convex optimization☆21Updated 4 years ago
- ☆77Updated 3 years ago
- A CVXPY extension for saddle problems☆26Updated last month
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated 2 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆13Updated last year
- ☆28Updated 3 months ago
- time-dependent Hamilton-Jacobi PDEs (http://www.cs.columbia.edu/~cxz/TimeDepHJB/)☆15Updated 8 years ago
- ☆15Updated last week
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- Python-based Derivative-Free Optimization with Bound Constraints☆87Updated 11 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- A variational method for fast, approximate inference for stochastic differential equations.☆44Updated 7 years ago
- Large scale simulation of ODEs or SDEs, analyze time series.☆25Updated 6 years ago
- A CVXPY extension for convex-concave programming☆130Updated last year
- Code for "Automatic repair of convex optimization problems".☆14Updated 5 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 2 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Python interface for SCS☆43Updated last week
- ☆68Updated 2 months ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆49Updated last week
- ☆18Updated 5 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 3 weeks ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆18Updated 5 years ago
- MCMC Inference for a Hawkes process in Julia☆25Updated 2 years ago
- Materials and syllabus for Cornell ORIE 7391, Faster: Algorithmic Ideas for Speeding Up Optimization☆25Updated 3 years ago
- ☆14Updated 5 years ago
- A CVXPY extension for multi-convex programming☆46Updated 2 years ago
- Codes for Hilbert space reduced-rank GP regression☆14Updated 6 years ago