niknow / machine-learning-examplesLinks
☆25Updated 9 months ago
Alternatives and similar repositories for machine-learning-examples
Users that are interested in machine-learning-examples are comparing it to the libraries listed below
Sorting:
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 8 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16Updated 8 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Algo Trading Research & Documentation☆29Updated 4 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months ago
- Heath–Jarrow–Morton model☆13Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- baruch mfe mth9814 financial instruments☆16Updated 7 years ago
- quantitative asset allocation strategy☆34Updated 11 months ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆29Updated 2 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago