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:
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Credit-Risk Modelling Libraries☆122Updated 7 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
- 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
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆94Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 7 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 4 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
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Options Pricing using Finite Difference Methods☆15Updated 8 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 months ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆30Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- ☆74Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆105Updated 9 months ago
- ☆16Updated 8 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- ☆16Updated 5 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- ☆25Updated 5 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago