polyhedron-gdl / introduction-to-monte-carlo-for-financeLinks
☆20Updated 4 years ago
Alternatives and similar repositories for introduction-to-monte-carlo-for-finance
Users that are interested in introduction-to-monte-carlo-for-finance are comparing it to the libraries listed below
Sorting:
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 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
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- ☆24Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- ☆16Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 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…☆13Updated 4 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Credit-Risk Modelling Libraries☆123Updated 7 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- NYU Tandon lecture slides☆32Updated 3 months ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆106Updated this week
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- ☆74Updated 4 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Set of Jupyter (iPython) notebooks (and few pdf-presentations) about things that I am interested on, like Computer Science, Statistics an…☆96Updated 4 years ago
- ☆21Updated 7 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆94Updated 2 years ago