polyhedron-gdl / introduction-to-monte-carlo-for-finance

Related projects: ⓘ

• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆35Updated 5 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆11Updated 5 years ago
• dpicone1 / Vasicek_CIR_HoLee_HullWhite_Models_Python
  Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes
  ☆43Updated 4 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆17Updated 4 years ago
• luphord / longstaff_schwartz
  A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.
  ☆37Updated 10 months ago
• Quintus-Zhang / Ferret
  Options Pricing using Finite Difference Methods
  ☆14Updated 7 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆46Updated last year
• mrefermat / quant_finance
  Repository for teachings on Quant Finance
  ☆47Updated 4 years ago
• kenperry-public / ML_Fall_2022
  NYU Tandon Machine Learning and Finance Fall 2022
  ☆10Updated last year
• deepintomlf / mlfbook
  ☆63Updated 2 years ago
• supreeth8 / Term_structure_modeling
  Yield curve Interpolation using cubic spline and nelson Seigel model
  ☆14Updated 5 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆46Updated 4 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 4 years ago
• CianODuffy / LiborMarketModel
  Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…
  ☆14Updated 5 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆37Updated last year
• jpcolino / IPython_notebooks
  Set of Jupyter (iPython) notebooks (and few pdf-presentations) about things that I am interested on, like Computer Science, Statistics an…
  ☆94Updated 3 years ago
• FranklinMa810 / Baruch-MFE-Credit-Risk-Modeling
  ☆16Updated 7 years ago
• pingfcc99 / FixedIncomeQuantTrading
  ☆15Updated 6 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆15Updated 3 months ago
• FedericoHan / BootstrapSwapYieldCurve
  Get discount factors and zero rates from interest rate swaps
  ☆9Updated 6 years ago
• hellojinwoo / CA_GMVP
  Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'
  ☆23Updated 2 years ago
• nburgessx / QuantResearch
  Quant Research
  ☆59Updated this week
• MarkHendricks / finm-portfolio-2021
  ☆16Updated this week
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆33Updated 3 years ago
• omartinsky / BlackLitterman
  Implementation of the famous Black-Litterman model in Jupyter notebook
  ☆37Updated 4 years ago
• mgroncki / DataScienceNotebooks
  Tutorials about Machine Learning and Deep Learning
  ☆29Updated 5 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆20Updated 3 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆18Updated 6 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆20Updated 4 years ago