cxzheng / time-dep-hjbLinks
time-dependent Hamilton-Jacobi PDEs (http://www.cs.columbia.edu/~cxz/TimeDepHJB/)
☆15Updated 8 years ago
Alternatives and similar repositories for time-dep-hjb
Users that are interested in time-dep-hjb are comparing it to the libraries listed below
Sorting:
- Convex optimization over risk-neutral probabilities.☆15Updated 5 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆59Updated 2 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 7 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆42Updated last month
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆56Updated 3 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- ☆18Updated 5 years ago
- Limit order book model with Poissonian order flow.☆10Updated 7 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- Roll model for trading strategy to C++ or FPGA via Matlab tool☆10Updated 10 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Probabilistic and Directional Relu Wavenet with forex and economic news data☆25Updated 5 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- Basic event driven platform for backtesting financial strategies in C++☆14Updated 9 years ago
- In this recruiting competition, Winton challenges you to take on the very difficult task of predicting the future (stock returns).☆11Updated 5 years ago
- This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB6…☆33Updated 11 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python☆99Updated 4 years ago
- ☆19Updated 7 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Covariance prediction via convex optimization☆21Updated 4 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated 2 years ago