kwchau / sgbm_xvaLinks
This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations (BSDE) (see https://arxiv.org/abs/1801.05180), using the particular case of XVA calculation with Black-Scholes model.
☆12Updated 7 years ago
Alternatives and similar repositories for sgbm_xva
Users that are interested in sgbm_xva are comparing it to the libraries listed below
Sorting:
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 5 months ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆17Updated 3 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…☆15Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Updated 8 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Calibration and pricing options in Heston model☆13Updated 8 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Updated 10 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- ☆16Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆20Updated 8 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- ☆12Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- ☆22Updated 7 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆57Updated 3 years ago