Alternatives and similar repositories for RHestonSLV:

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

• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆32Updated 5 years ago
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆51Updated 3 years ago
• returnandrisk / meucci-python
  Python Code for Meucci Related Blog Posts
  ☆16Updated 8 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 11 months ago
• Beliavsky / R-Finance-Task-View-Supplement
  R Finance packages not listed in the Empirical Finance Task View
  ☆11Updated this week
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆81Updated 6 months ago
• algoquant / HighFreq
  R package for high frequency time series data management
  ☆61Updated this week
• andreranza / pca-yield-curve-modelling
  Master's degree dissertation: Yield Curve Modeling with Principal component analysis.
  ☆21Updated 4 years ago
• R-Finance / Meucci
  ☆45Updated 8 years ago
• vollib / lets_be_rational
  ☆41Updated 9 years ago
• braverock / FactorAnalytics
  ☆71Updated 3 months ago
• marc-henrard / muRisQ-ir-models
  muRisQ Advisory: Interest Rate Models for Derivatives.
  ☆12Updated 2 years ago
• dppalomar / portfolioBacktest
  Automated Backtesting of Portfolios over Multiple Datasets
  ☆60Updated 2 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆76Updated 3 years ago
• MarcosCarreira / BrazilianDerivatives
  Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"
  ☆17Updated 7 months ago
• brnohu / CompFin
  This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…
  ☆38Updated 9 months ago
• Robot-Wealth / trader-tales
  ☆78Updated last month
• oledoit / covShrinkage
  A Package for Shrinkage Estimation of Covariance Matrices
  ☆15Updated last year
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆46Updated 4 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆60Updated last week
• ahgperrin / PyCurve
  PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…
  ☆39Updated 3 years ago
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 6 years ago
• imanuelcostigan / dataonderivatives
  Easily source publicly available data on derivatives
  ☆37Updated 3 years ago
• AvinashAcharya / factorAnalytics
  R package factorAnalytics developed during Google Summer of Code 2016
  ☆24Updated 6 years ago
• Dekalog / Data-Snooping-Tests
  Code for various data snooping tests on financial time series.
  ☆18Updated 9 years ago
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆25Updated 4 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 9 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated last week
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆59Updated 2 years ago