NYU Tandon Machine Learning and Finance Fall 2022
☆11Dec 13, 2022Updated 3 years ago
Alternatives and similar repositories for ML_Fall_2022
Users that are interested in ML_Fall_2022 are comparing it to the libraries listed below
Sorting:
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Mar 8, 2018Updated 7 years ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated last week
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- BOTorch tutorials in Jupyter notebook format ready to be launched on Google Colab☆10Mar 3, 2023Updated 3 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 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…☆15Jul 3, 2021Updated 4 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆20May 4, 2021Updated 4 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆20Aug 20, 2024Updated last year
- ☆23Apr 1, 2022Updated 3 years ago
- Risk & Valuation in Python☆16Dec 19, 2025Updated 2 months ago
- ☆18Feb 13, 2022Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- SOFR curve bootstrapping☆27Jul 17, 2020Updated 5 years ago
- Baruch MFE program quant lab☆31May 29, 2018Updated 7 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 5 years ago
- NYU Tandon lecture slides☆33Jan 19, 2026Updated last month
- ☆18Nov 26, 2023Updated 2 years ago
- Lecture notes and course material for M3M6 Applied Complex Analysis at Imperial College☆37May 18, 2020Updated 5 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆43May 22, 2024Updated last year
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆42Jun 16, 2024Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- DL Backtrace is a new explainablity technique for deep learning models that works for any modality and model type.☆23Feb 16, 2026Updated 2 weeks ago
- The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of d…☆10Sep 14, 2018Updated 7 years ago
- Implementing LRP (Layer-wise Relevance Propagation) for a sequence-to-sequence model with GRU layers.☆12Sep 8, 2023Updated 2 years ago
- AIFI bootcamp☆13Mar 2, 2022Updated 4 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago