marc-henrard / algorithmic-differentiation-bookLinks
Tutorial for the book "Algorithmic Differentiation in Finance"
☆16Updated 8 years ago
Alternatives and similar repositories for algorithmic-differentiation-book
Users that are interested in algorithmic-differentiation-book are comparing it to the libraries listed below
Sorting:
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆189Updated 4 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆68Updated 6 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆46Updated 6 months ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆42Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- ☆17Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- C++ implementation of rBergomi model☆25Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Updated 5 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆28Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆110Updated 5 years ago
- ☆24Updated last year
- AAD enabled and scripting included derivatives modeling.☆22Updated this week
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆64Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆37Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- ☆56Updated last year
- Price options analytically given stock price characteristic function☆16Updated 10 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago