differential-machine-learning / notebooks
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.
☆141Updated 2 years ago
Alternatives and similar repositories for notebooks:
Users that are interested in notebooks are comparing it to the libraries listed below
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆96Updated 2 months ago
- Quant Research☆69Updated last week
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆38Updated 10 months ago
- ☆50Updated last year
- Ikaros is a free financial library built in pure python that can be used to get information for single stocks, generate signals and build…☆66Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆60Updated last week
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆36Updated 5 years ago
- Website dedicated to a book on machine learning for factor investing☆222Updated last year
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆155Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆69Updated 3 months ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆71Updated 3 weeks ago
- ☆45Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆110Updated 2 weeks ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 7 months ago
- ☆70Updated 3 years ago
- Code that I show on my YouTube Channel☆97Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Macrosynergy Quant Research☆118Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Portfolio optimization with cvxopt☆37Updated last month
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆94Updated 3 months ago