differential-machine-learning / appendicesLinks
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
☆28Updated 2 years ago
Alternatives and similar repositories for appendices
Users that are interested in appendices are comparing it to the libraries listed below
Sorting:
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆65Updated 5 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- ☆14Updated 5 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆53Updated 5 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆40Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- ☆19Updated 7 years ago
- ☆67Updated last week
- ☆16Updated 4 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆55Updated 2 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆23Updated 4 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆38Updated last week
- Monte Carlo Submission Examples☆16Updated 9 months ago
- Public code for our paper https://ssrn.com/abstract=3958331☆25Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 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
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- ☆10Updated 8 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 7 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago