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.
☆138Updated 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
- Quant Research☆68Updated 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 6 months ago
- ☆69Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆38Updated 8 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- 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
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆95Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- My Quant Research Papers (incl. Coding & Excel Examples)☆108Updated 3 months ago
- A Python implementation of the rough Bergomi model.☆117Updated 6 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆95Updated 2 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆152Updated last month
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆55Updated this week
- The code used for the free quants@dev Webinar series on Reinforcement Learning in Finance☆99Updated 2 years ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆59Updated last month
- ☆45Updated last year
- Macrosynergy Quant Research☆115Updated this week
- Code that I show on my YouTube Channel☆93Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- This collects the scripts and notebooks required to reproduce my published work.☆44Updated last week
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆153Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆19Updated 2 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆160Updated 3 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 6 years ago