finmath / finmath-lib-automaticdifferentiation-extensionsLinks
Provides additional classes for automatic differentiations (e.g. backward automatic differentiation - aka AAD).
☆18Updated 7 years ago
Alternatives and similar repositories for finmath-lib-automaticdifferentiation-extensions
Users that are interested in finmath-lib-automaticdifferentiation-extensions are comparing it to the libraries listed below
Sorting:
- Experiments, demos and unit tests based on finmath lib.☆21Updated 3 months ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆66Updated 2 years ago
- Java Agent Based Modelling toolkit☆27Updated 2 years ago
- Quantitative Finance Library for Java by Idylwood Technologies☆52Updated 11 years ago
- C++ API for the TeaFile File Format. TeaFiles is Time Series Persistence in Flat Files.☆60Updated 4 years ago
- Scalar and vector adjoint algorithmic differentiation (AAD)☆28Updated 8 years ago
- JAutoDiff : A Pure Java Library for Automatic Differentiation☆42Updated 11 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆190Updated 4 years ago
- kdb+ integration with Apache Arrow and Parquet☆34Updated 9 months ago
- Falcon, the open source ultra low-latency FIX engine for Java☆151Updated 8 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆76Updated 8 years ago
- ☆20Updated 2 years ago
- Studio for kdb+ / Rapid execution environment for q☆99Updated 5 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆47Updated 7 months ago
- header only essentials of QuantLib☆25Updated 8 years ago
- High performance C++ Linear Algebra Library☆15Updated 5 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆18Updated 9 years ago
- reinforcement learning algorithms from the book by Sutton and Barto☆17Updated 4 years ago
- Java implementation of the Simple Genetic Algorithm, the Univariate Marginal Distribution Algorithm, the Extended Compact Genetic Algorit…☆12Updated 10 years ago
- Quantlib implementation in pure Julia☆29Updated last year
- Docker images for QuantLib CI☆23Updated 2 years ago
- interprocess communication between Java and kdb+☆40Updated 2 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 8 years ago
- Reference implementation of the ISDA-proposed Standard Initial Margin Model (SIMM) for non-cleared derivatives☆29Updated 9 years ago
- Automatic Differentiation for OpenCL.☆20Updated 10 years ago
- Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''☆113Updated 8 years ago
- Scientific library for high-precision computations and research☆49Updated 8 years ago