piterbarg / altnnpub
Public code for our paper https://ssrn.com/abstract=3958331
☆23Updated 3 years ago
Alternatives and similar repositories for altnnpub:
Users that are interested in altnnpub are comparing it to the libraries listed below
- Code for the paper Volatility is (mostly) path-dependent☆58Updated 9 months ago
- Neural network local volatility with dupire formula☆74Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆92Updated 3 weeks ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆115Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆103Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆147Updated this week
- A Python implementation of the rough Bergomi model.☆114Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 11 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆46Updated last year
- An xVA quantitative library written in python using tensorflow☆16Updated 7 months ago
- QuantMinds Rough Volatility Workshop lectures☆28Updated 2 months ago
- Quant Research☆67Updated 2 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆37Updated 7 months ago
- Advanced Risk and Portfolio Management Resources☆24Updated 5 years ago
- Python Code for Quantitative Finance Papers☆39Updated 3 months ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆36Updated 6 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆105Updated 2 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆53Updated last year
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- ☆63Updated this week
- Surface SVI parameterisation and corresponding local volatility☆38Updated 4 years ago
- Python repository with various projects in Machine Learning and Finance☆12Updated 3 weeks ago