Alternatives and similar repositories for muRisQ-ir-models

Users that are interested in muRisQ-ir-models are comparing it to the libraries listed below

• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated last week
• remis-thoughts / svi-zeliade
  Fitting an SVI model using Zeliade's method in Python with Pandas
  ☆13Updated 10 years ago
• kangzhan / SVI-Surface
  Arbitrage free SVI Surface
  ☆14Updated 7 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆26Updated 5 years ago
• brnohu / CompFin
  This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…
  ☆42Updated last year
• dpicone1 / LiborMarketModel
  Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option
  ☆12Updated 5 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆125Updated 2 months ago
• attack68 / book_irds3
  Code repository for Pricing and Trading Interest Rate Derivatives
  ☆103Updated 3 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆25Updated 8 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆56Updated 5 years ago
• omartinsky / HJM
  Heath–Jarrow–Morton model
  ☆13Updated 4 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆18Updated last year
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆122Updated last year
• WencaiZheng / Finite-Difference-in-Option-Pricing
  Use the Finite Difference method to price European, American and Bermudan options.
  ☆22Updated 5 years ago
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆51Updated 5 years ago
• sschlenkrich / InterestRateModelling_examples
  Example for Interest Rate Modelling Lecture
  ☆14Updated 8 months ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆13Updated 6 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 7 years ago
• MaximumBeings / public
  Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)
  ☆83Updated last year
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆77Updated 7 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆71Updated last year
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆135Updated 7 years ago
• Othmane-ZARHALI / StochasticLocalVolatilityModels
  Stochastic local volatility model calibration
  ☆18Updated 4 years ago
• asavine / CompFinLecture
  Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
  ☆68Updated 6 years ago
• wegamekinglc / Derivatives-Algorithms-Lib
  AAD enabled and scripting included derivatives modeling.
  ☆22Updated last week
• nburgessx / QuantResearch
  Quant Research
  ☆96Updated last month
• nburgessx / SwapsBook
  Low Latency Interest Rate Markets – Theory, Pricing and Practice
  ☆245Updated 10 months ago