Alternatives and similar repositories for GP-CVA

Users that are interested in GP-CVA are comparing it to the libraries listed below

• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 8 months ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆20Updated last year
• t-vi / interesting-rates
  Economic models and things in Pytorch
  ☆21Updated 7 years ago
• Quiota / tensorflow
  ☆10Updated 8 years ago
• chicago-joe / Python-ML-for-Financial-Applications
  Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling
  ☆19Updated 6 years ago
• mfrdixon / alpha-RNN
  alpha-RNN
  ☆30Updated 5 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 5 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• quantgirluk / ICMM
  📝 Introduction to Monte Carlo methods in Finance Workshop Materials
  ☆20Updated 2 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆35Updated last year
• dlarsen5 / VolatilityDecomposition
  Volatility Decomposition of Asset Price Time Series
  ☆11Updated 6 years ago
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆11Updated 4 years ago
• junyanxu / Python-Heston-Option-Pricer
  ☆19Updated 8 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• AndrewLyasoff / SMAP
  Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…
  ☆23Updated 4 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• hstrey / Ornstein-Uhlenbeck-Bayesian
  ☆18Updated 5 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 2 years ago
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆25Updated 5 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 9 months ago
• differential-machine-learning / appendices
  Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …
  ☆27Updated 2 years ago