Implementation of ISDA SIMM v2.3~2.6
☆27Mar 8, 2026Updated 2 weeks ago
Alternatives and similar repositories for ISDA_SIMM
Users that are interested in ISDA_SIMM are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated 2 months ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Apr 18, 2020Updated 5 years ago
- My personal work on the numerical projects of a book called "A First Course in Stochastic Calculus".☆16Apr 29, 2022Updated 3 years ago
- ☆12Apr 17, 2021Updated 4 years ago
- Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore moder…☆12Mar 4, 2021Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆53May 13, 2020Updated 5 years ago
- Interactive Quant Portfolio Visualizer Dash App☆13Mar 8, 2024Updated 2 years ago
- SOFR curve bootstrapping☆27Jul 17, 2020Updated 5 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 7 months ago
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆27Apr 22, 2022Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Stat 479 Project☆12Dec 22, 2018Updated 7 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆18Sep 22, 2024Updated last year
- Codes for the concepts related to quantitative finance☆61Mar 7, 2026Updated 2 weeks ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- ☆14Apr 1, 2019Updated 6 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Dec 11, 2019Updated 6 years ago
- The Hull-White model is a single-factor interest model used to price interest rate derivatives. The Hull-White model assumes that short r…☆10Jun 2, 2023Updated 2 years ago
- ☆36Jan 9, 2026Updated 2 months ago
- Monte Carlo simulation to option pricing in CUDA☆11Apr 29, 2017Updated 8 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…☆16Jul 3, 2021Updated 4 years ago
- A library in different programming languages of the option pricing formulas used by global CCPs☆15Jul 12, 2023Updated 2 years ago
- A Python library implementing Bayesian methods for solving estimation and forecasting problems in time series analysis☆21Mar 19, 2017Updated 9 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Mar 6, 2017Updated 9 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆44May 22, 2024Updated last year
- Black-Litterman model portfolio optimizer☆16Aug 28, 2020Updated 5 years ago
- A deep reinforcement learning model for portfolio management. For more info, check☆14Jun 2, 2020Updated 5 years ago
- ☆15Aug 3, 2021Updated 4 years ago
- applications for risk management through computational portfolio construction methods☆44Sep 18, 2020Updated 5 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Sep 17, 2021Updated 4 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Economic models and things in Pytorch☆22Nov 30, 2017Updated 8 years ago
- implementing the SA-CCR based on the CRR2 Regulation☆17May 3, 2025Updated 10 months ago
- eshell is great but lacks a good manual, someone wrote one. This packages it.☆20Oct 24, 2014Updated 11 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Feb 10, 2023Updated 3 years ago
- modeling FICC market with QuantLib☆22Nov 16, 2022Updated 3 years ago
- Gaussian Online Processes for Python☆19Jan 5, 2025Updated last year
- An implementation of the paper "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem"☆23Aug 15, 2018Updated 7 years ago