gengler1123 / GPU-Computing-For-Finance
Repository for GPU Computing for Finance
☆16Updated 6 years ago
Alternatives and similar repositories for GPU-Computing-For-Finance:
Users that are interested in GPU-Computing-For-Finance are comparing it to the libraries listed below
- Monte Carlo simulation to option pricing in CUDA☆9Updated 7 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆175Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆104Updated 5 years ago
- C++ Trading Algorithm Backtest Environment☆86Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- High Frequency Trading☆107Updated 6 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated 6 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆24Updated 3 years ago
- ☆48Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆179Updated 2 months ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Pricing Asian options using finite difference schemes in Python☆11Updated 8 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆93Updated last week
- three stochastic volatility model: Heston, SABR, SVI☆83Updated 5 years ago
- Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.☆31Updated 7 months ago
- Valuing Real Options with Least Squares Monte Carlo in Python☆12Updated 7 years ago
- AAD enabled and scripting included derivatives modeling.☆20Updated 4 months ago
- Python repository with various projects in Machine Learning and Finance☆12Updated this week
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆93Updated 2 years ago
- python implement for WorldQuant-Alpha101☆49Updated 6 years ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆36Updated 5 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 7 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Use the Finite Difference method to price European, American and Bermudan options.☆21Updated 4 years ago
- A collection of open-source GPU accelerated Python tools and examples for quantitative analyst tasks and leverages RAPIDS AI project, Num…☆299Updated 2 months ago
- Quantitative finance example applications on GPUs using portable programming models.☆54Updated 7 months ago
- Quant Studio Document☆24Updated 3 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago