matlogica / AADC-PythonLinks
☆12Updated 5 months ago
Alternatives and similar repositories for AADC-Python
Users that are interested in AADC-Python are comparing it to the libraries listed below
Sorting:
- A Python implementation of the rough Bergomi model.☆123Updated 6 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- ☆51Updated last year
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- Fast Risks with QuantLib in Python☆15Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Tool to support backtests☆46Updated this week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆88Updated 5 months ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆62Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 3 years ago
- Quantamental finance research with python☆149Updated 3 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆45Updated 4 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆137Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆94Updated 11 months ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- ☆41Updated 10 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 4 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- ☆44Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago