Alternatives and similar repositories for altnnpub:

Users that are interested in altnnpub are comparing it to the libraries listed below

• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated last year
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆97Updated 3 months ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆157Updated last week
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆69Updated last month
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆47Updated 4 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆117Updated last year
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆48Updated 6 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆76Updated 3 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆108Updated 6 years ago
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 6 years ago
• asavine / CompFinLecture
  Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
  ☆62Updated 5 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆27Updated 4 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆44Updated 5 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆118Updated 6 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated 2 months ago
• jgatheral / RoughVolatilityWorkshop
  QuantMinds Rough Volatility Workshop lectures
  ☆33Updated 5 months ago
• brnohu / CompFin
  This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…
  ☆38Updated 10 months ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆28Updated 7 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆76Updated 6 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated last week
• luphord / longstaff_schwartz
  A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.
  ☆41Updated last year
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated 2 months ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆66Updated 3 months ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆87Updated 6 years ago
• jkirkby3 / PROJ_Option_Pricing_Matlab
  Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…
  ☆188Updated 5 months ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆31Updated last year
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆39Updated 6 months ago