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
  ☆12Updated 6 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 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
  ☆22Updated 7 years ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆24Updated 2 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆29Updated 3 months ago
• chrischia06 / Mean-Variance-Hedging
  Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈
  ☆14Updated 3 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆22Updated 3 years ago
• quantgirluk / ICMM
  📝 Introduction to Monte Carlo methods in Finance Workshop Materials
  ☆18Updated 2 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆21Updated last year
• SimonOuellette35 / SVmodels
  Stochastic volatility models
  ☆18Updated 6 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆48Updated 2 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆13Updated 5 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 9 months ago
• Quiota / tensorflow
  ☆10Updated 7 years ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆39Updated 4 years ago
• vanessa-pizante / Deep-Optimal-Stopping
  Deep Optimal Stopping Project
  ☆16Updated 5 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆12Updated 4 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆25Updated last year
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 4 years ago
• microprediction / monteprediction_colab_examples
  Monte Carlo Submission Examples
  ☆17Updated 5 months ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 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
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆34Updated 9 months ago
• druce / ValueMomentum
  Value and Momentum Using Machine Learning
  ☆11Updated 4 years ago
• Farmhouse121 / Wilmott-Articles
  This contains notebooks and scripts used to support my writing in WILMOTT Magazine.
  ☆16Updated 9 months ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• convexfi / intradayModel
  Modeling of intraday volatility and volume in financial markets
  ☆14Updated last year