mgroncki / DataScienceNotebooks
Tutorials about Machine Learning and Deep Learning
☆30Updated 6 years ago
Alternatives and similar repositories for DataScienceNotebooks:
Users that are interested in DataScienceNotebooks are comparing it to the libraries listed below
- Development space for PhD in Finance☆33Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Stochastic volatility models☆18Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ☆15Updated 4 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated 9 months ago
- My replication of financial papers.☆19Updated 6 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆18Updated 4 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Machine Learning for Quantitative Finance☆24Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆15Updated 2 years ago
- CVXPY Portfolio Optimization Sample☆44Updated 8 years ago
- Hierarchical Risk Parity☆28Updated 5 years ago
- Get discount factors and zero rates from interest rate swaps☆10Updated 7 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Hedging portfolios with reinforcement learning.☆34Updated 7 years ago
- A Python toolkit for high-frequency trade research.☆41Updated 6 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago