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:
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 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
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore moder…☆11Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 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
- ☆23Updated 3 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- ☆72Updated 3 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- Options Pricing using Finite Difference Methods☆14Updated 8 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Volatility is Rough☆9Updated 2 years ago
- ☆19Updated 7 years ago