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
• t-vi / interesting-rates
  Economic models and things in Pytorch
  ☆21Updated 7 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 9 months ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• quantgirluk / ICMM
  📝 Introduction to Monte Carlo methods in Finance Workshop Materials
  ☆20Updated 2 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 3 years ago
• mawicks / deep-volatility-models
  Volatility models for stock prices using deep learning and mixture models.
  ☆16Updated 3 years ago
• microprediction / monteprediction_colab_examples
  Monte Carlo Submission Examples
  ☆16Updated 11 months ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 4 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆52Updated 2 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
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 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
• chicago-joe / Python-ML-for-Financial-Applications
  Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling
  ☆19Updated 6 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 5 years ago
• dlarsen5 / VolatilityDecomposition
  Volatility Decomposition of Asset Price Time Series
  ☆11Updated 6 years ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• mfrdixon / alpha-RNN
  alpha-RNN
  ☆30Updated 5 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆54Updated 3 weeks ago
• quantgirluk / Quant-Girl-Blog
  👾 This repository contains files related to my personal website. Charts, Jupyter notebooks, random notes, etc.
  ☆18Updated 9 months 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
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆14Updated last year
• 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
• convexfi / fitHeavyTail
  Mean and Covariance Matrix Estimation under Heavy Tails
  ☆22Updated 2 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year
• AlexIoannides / pymc-stochastic-process
  Bayesian Inference and parameter estimation in quant finance.
  ☆42Updated 6 years ago
• junyanxu / Python-Heston-Option-Pricer
  ☆19Updated 8 years ago