qntlb / numerical-methods-lecture
Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.
☆42Updated last week
Related projects ⓘ
Alternatives and complementary repositories for numerical-methods-lecture
- This repository contains the python codes as well as data files which have been included in the ML for Trading ebook☆94Updated 2 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆141Updated this week
- This repository contains codes that were executed during my training in the CQF (Certificate in Quantitative Finance). The codes are orga…☆22Updated 9 months ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆89Updated 11 months ago
- Algo Trading Research & Documentation☆14Updated 5 months ago
- Quant Research☆66Updated this week
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- Feature Engineering and Feature Importance in Machine Learning for Financial Markets☆122Updated 9 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- ☆45Updated last year
- Python library for asset pricing☆104Updated 8 months ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆90Updated this week
- ☆57Updated last year
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆25Updated 3 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆53Updated 7 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆89Updated this week
- ☆22Updated 9 months ago
- ☆73Updated last month
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆183Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆102Updated 5 years ago
- ☆18Updated last year
- This collects the scripts and notebooks required to reproduce my published work.☆43Updated this week
- ☆125Updated 10 months ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆102Updated this week
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆36Updated 5 months ago
- This repository includes an introduction to statistical arbitrage pairs trading. Specifically, I discuss some of the research methods req…☆56Updated 8 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆79Updated last month
- Statistical Jump Models in Python, with scikit-learn-style APIs☆37Updated last month