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
  ☆11Updated 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 7 years ago
• t-vi / interesting-rates
  Economic models and things in Pytorch
  ☆21Updated 7 years ago
• Quiota / tensorflow
  ☆10Updated 7 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆26Updated 4 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆12Updated 4 months ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 8 months ago
• Farmhouse121 / Wilmott-Articles
  This contains notebooks and scripts used to support my writing in WILMOTT Magazine.
  ☆16Updated 8 months ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆24Updated 2 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆45Updated last year
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆21Updated 2 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 3 years ago
• junyanxu / Python-Heston-Option-Pricer
  ☆19Updated 8 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆21Updated 11 months ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆39Updated 4 years ago
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆28Updated last year
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated this week
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• roederd / volatility_model_calibration_with_nn
  ☆15Updated 4 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆25Updated last year
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆13Updated this week
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 4 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆48Updated 2 years ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆19Updated 4 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆23Updated 7 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 2 months ago
• convexfi / fitHeavyTail
  Mean and Covariance Matrix Estimation under Heavy Tails
  ☆22Updated last year