gavinconran / numerical-financeLinks
Numerical Methods in Finance
☆19Updated 7 years ago
Alternatives and similar repositories for numerical-finance
Users that are interested in numerical-finance are comparing it to the libraries listed below
Sorting:
- ☆24Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Python repository with various projects in Machine Learning and Finance☆13Updated 3 months ago
- ☆16Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated 7 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- ☆19Updated 7 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆37Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 2 years ago
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 7 years ago
- ADI Finite Difference schemes for option pricing using the Heston model☆19Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆48Updated 2 months ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆41Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆52Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆123Updated 6 years ago