mgroncki / DataScienceNotebooksLinks
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
Sorting:
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 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 notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 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
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- ☆16Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 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
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆15Updated 2 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated last year
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated 11 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Machine Learning for Quantitative Finance☆24Updated 6 years ago
- ☆10Updated 7 years ago
- ☆23Updated 2 months ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆26Updated last week