Alternatives and similar repositories for mpoints:

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

• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated last year
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆69Updated last month
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆30Updated last year
• rotmanfinhub / gamma-vega-rl-hedging
  ☆32Updated 10 months ago
• tdmdal / rl-hedge-2019
  ☆48Updated 4 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 5 months ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆66Updated 3 months ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆80Updated 2 years ago
• imanolperez / market_simulator
  Market simulator
  ☆60Updated 4 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆27Updated 4 years ago
• alexbotsula / XTX_Challenge
  Models and programs developed as part of XTX Forecastin Challenge 2019
  ☆26Updated last year
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆48Updated 6 years ago
• cvxgrp / vwap_opt_exec
  Volume Weighted Average Price Optimal Execution
  ☆41Updated 6 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆54Updated 2 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆44Updated 2 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆108Updated 6 years ago
• xhshenxin / Micro_Price
  ☆49Updated 4 years ago
• maxe-team / maxe
  Multi-Agent eXchange simulator developed at Oxford-Man Institute
  ☆60Updated 4 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆33Updated last year
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆40Updated 4 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆34Updated 3 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 7 months ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 3 years ago
• thedatabeat / SVI
  ☆50Updated 7 years ago