jieqian2 / Numerical-Methods-in-FinanceLinks
This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.
☆11Updated 5 years ago
Alternatives and similar repositories for Numerical-Methods-in-Finance
Users that are interested in Numerical-Methods-in-Finance are comparing it to the libraries listed below
Sorting:
- ☆16Updated 5 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆16Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Option Pricing with Machine Learning Methods☆13Updated 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
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 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
- ☆19Updated 7 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- ☆24Updated last year
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 2 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- ☆73Updated 3 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆26Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- 📝 Introduction to Monte Carlo methods in Finance Workshop Materials☆20Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆29Updated 5 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 4 years ago
- Financial Strategy Resources☆17Updated 3 years ago