differential-machine-learning / appendices
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
☆27Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for appendices
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 4 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆138Updated 2 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆25Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆44Updated last year
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆36Updated 6 months ago
- ☆18Updated 6 years ago
- ☆10Updated 7 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆48Updated 2 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- Neural network local volatility with dupire formula☆73Updated 3 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…☆11Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆22Updated 9 months ago
- ☆66Updated 3 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆23Updated 2 years ago
- ☆60Updated last week
- ☆27Updated 5 years ago
- ☆14Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- Tools for investing in Python☆43Updated 2 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 5 years ago
- Financial Portfolio Optimization Algorithms☆52Updated 4 months ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆20Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year