numericalalgorithmsgroup / NAGPythonExamplesLinks
Examples and demos showing how to call functions from the nAG Library for Python
☆66Updated 11 months ago
Alternatives and similar repositories for NAGPythonExamples
Users that are interested in NAGPythonExamples are comparing it to the libraries listed below
Sorting:
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Updated 5 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆188Updated 4 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆68Updated 5 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Updated 8 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 2 months ago
- A collection of tutorials for the MOSEK package☆122Updated this week
- Numerical Methods in Finance☆19Updated 7 years ago
- Python implementation of fractional brownian motion☆64Updated 5 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated 2 years ago
- Monte Carlo Submission Examples☆17Updated last year
- Collection of Python scripts for the book "An Introduction to Econophysics: Contemporary Approaches with Python Simulations"☆32Updated 11 months ago
- ☆24Updated last year
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆37Updated 6 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆28Updated 3 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆45Updated 4 months ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆109Updated 5 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆25Updated 5 years ago
- ☆17Updated this week
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- ☆67Updated 4 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- ☆16Updated 8 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆15Updated 11 months ago
- Source files for https://python.quantecon.org☆63Updated 3 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial…☆71Updated last month