Alternatives and similar repositories for ML_Fall_2022

Users that are interested in ML_Fall_2022 are comparing it to the libraries listed below

• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆16Updated 5 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆15Updated 4 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆12Updated 8 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆56Updated 2 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 10 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 7 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆17Updated 5 years ago
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆24Updated 5 years ago
• omartinsky / HJM
  Heath–Jarrow–Morton model
  ☆13Updated 4 years ago
• chrischia06 / neural-network-derivative-pricing
  Survey of neural network methods for derivatives pricing and risks
  ☆14Updated 3 years ago
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆21Updated 5 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …
  ☆11Updated 3 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆13Updated 6 years ago
• ck2w / baruch-mfe-lab
  Baruch MFE program quant lab
  ☆30Updated 7 years ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 8 years ago
• LikunOuyang / MTH9855-Asset-Allocation
  Asset allocation and Portfolio Management Course @ Baruch MFE
  ☆15Updated 5 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆17Updated 3 years ago
• AIM-IT4 / InterestRateModelsCpp
  ☆24Updated last year
• yye9701 / KR_example
  ☆22Updated 3 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆25Updated 5 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 8 months ago
• silvialava / Deep_quadratic_hedging
  ☆12Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆13Updated 8 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆22Updated 5 years ago
• yc-liu / mth9814
  baruch mfe mth9814 financial instruments
  ☆17Updated 7 years ago