QuantMinds Rough Volatility Workshop lectures
☆48Nov 16, 2025Updated 11 months ago
Alternatives and similar repositories for RoughVolatilityWorkshop2024
Users that are interested in RoughVolatilityWorkshop2024 are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- QuantMinds Rough Volatility Workshop lectures☆75Sep 6, 2025Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆20Jun 10, 2022Updated 4 years ago
- implementation of the two-factor quintic OU model☆14Mar 19, 2025Updated last year
- An Avellaneda-Stoikov market-making research project built on real Binance Futures `BTCUSDT` L2 data.☆16Oct 14, 2026Updated last week
- End-to-end solution to process TRACE corporate bond data.☆55Sep 30, 2026Updated 3 weeks ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Surface SVI parameterisation and corresponding local volatility☆63May 10, 2020Updated 6 years ago
- "Deep Learning in Finance" course for Baruch MFE program - Fall 2025☆51Dec 15, 2025Updated 10 months ago
- Code for the paper "How to use the Sharpe ratio"☆103Feb 5, 2026Updated 8 months ago
- ☆25Mar 23, 2025Updated last year
- Sample code that shows how to forecast stock market volatility using a Kalman filter☆16Aug 17, 2023Updated 3 years ago
- ☆15May 17, 2025Updated last year
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆50Jun 18, 2025Updated last year
- ☆12Dec 21, 2022Updated 3 years ago
- the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”☆31Dec 23, 2025Updated 10 months ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- High performance hybrid Monte Carlo simulation☆10Sep 21, 2026Updated last month
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆135Jun 9, 2026Updated 4 months ago
- C++ implementation of rBergomi model☆27Jul 4, 2018Updated 8 years ago
- ☆10Feb 14, 2024Updated 2 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- ☆11Aug 2, 2021Updated 5 years ago
- My solutions for the “C++ Programming for Financial Engineering” Online Certificate. It is a joint project by the Baruch MFE program, Dr.…☆58Feb 9, 2019Updated 7 years ago
- Machine learning for portfolio management and trading with scikit-learn☆49Sep 28, 2026Updated 3 weeks ago
- MCMC estimation of Bayesian Vectorautoregressions☆11Mar 3, 2026Updated 7 months ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆117Mar 10, 2025Updated last year
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 6 years ago
- A Python library for generating discounted cashflows.☆24Apr 25, 2025Updated last year
- Statistical inference for Sharpe ratios: probabilistic Sharpe ratio, minimum track record length, and FDR/FWER corrections for screening …☆25Updated this week
- Co-pricing factor zoo☆18Apr 13, 2026Updated 6 months ago
- Collection of resources used on QuantPy YouTube channel.☆281Dec 17, 2025Updated 10 months ago
- Machine Learning Trading Toolkit☆39Jun 27, 2025Updated last year
- Constrained multivariate least-squares optimizer for scipy☆23Jan 26, 2016Updated 10 years ago
- A gap-probability market maker for Bybit spot/linear markets, implemented as a Rust + Python + Numba stack.☆21Jun 25, 2026Updated 3 months 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.
- ☆39Apr 8, 2026Updated 6 months ago
- Financial Strategy Resources☆19May 21, 2022Updated 4 years ago
- Examples and code for the Practical Machine Learning workshop series☆24Mar 29, 2021Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆144Sep 17, 2018Updated 8 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆368May 20, 2026Updated 5 months ago
- Python implementation of the ACM Term Premium Model☆30Apr 7, 2026Updated 6 months ago
- CFA Learning Notes☆21Apr 12, 2024Updated 2 years ago