Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.
☆148Oct 5, 2022Updated 3 years ago
Alternatives and similar repositories for notebooks
Users that are interested in notebooks are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆28Oct 5, 2022Updated 3 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆68Dec 20, 2019Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆194Sep 10, 2021Updated 4 years ago
- ☆15Oct 7, 2019Updated 6 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Neural network local volatility with dupire formula☆80Jun 15, 2021Updated 4 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆26Oct 11, 2020Updated 5 years ago
- This is a repository of scripts developed as part of the 2020 ENCMP100 Section B3 lecture taught at University of Alberta.☆10Apr 2, 2020Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆130Oct 11, 2025Updated 6 months ago
- Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916☆14Sep 6, 2019Updated 6 years ago
- Quantitative Library for Finance☆13Sep 16, 2015Updated 10 years ago
- ☆19May 17, 2020Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆142Sep 17, 2018Updated 7 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- Serverless GPU API endpoints on Runpod - Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Python repository with various projects in Machine Learning and Finance☆13Apr 5, 2026Updated last week
- ☆28Aug 26, 2024Updated last year
- Financial Portfolio Optimization Algorithms☆61Jul 5, 2024Updated last year
- Grid representation and CNN classification for time-series☆18Mar 23, 2019Updated 7 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Aug 6, 2017Updated 8 years ago
- ☆13May 27, 2023Updated 2 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆335Updated this week
- Implementation of "A deep solver for BSDEs with jumps"☆17Nov 14, 2024Updated last year
- We implement the paper: Deep Learning Volatility☆208May 10, 2020Updated 5 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆252Feb 5, 2025Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆62Jul 5, 2022Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Jan 17, 2021Updated 5 years ago
- C++ implementation of rBergomi model☆27Jul 4, 2018Updated 7 years ago
- This Python code complements the video on the quantpie YouTube channel (https://www.youtube.com/c/quantpie), and contains the various fun…☆10Feb 21, 2020Updated 6 years ago
- Vectorized quantile backtesting library☆15May 25, 2023Updated 2 years ago
- Model Calibration with Neural Networks☆48May 16, 2018Updated 7 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆37Aug 25, 2021Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Quant/Algorithm trading resources with an emphasis on Machine Learning☆12May 18, 2019Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆218Apr 7, 2026Updated last week
- Volatility models for stock prices using deep learning and mixture models.☆16Aug 20, 2022Updated 3 years ago
- Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co…☆100Nov 20, 2021Updated 4 years ago
- ☆14Nov 9, 2013Updated 12 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆34Jun 28, 2022Updated 3 years ago
- Set of R functions for high-dimensional econometrics☆36Apr 23, 2020Updated 5 years ago