qntlb / numerical-methods-lecture
Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.
☆47Updated 3 weeks ago
Alternatives and similar repositories for numerical-methods-lecture
Users that are interested in numerical-methods-lecture are comparing it to the libraries listed below
Sorting:
- ☆29Updated 2 years ago
- Portfolio Construction and Risk Management book's Python code.☆95Updated 3 weeks ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- ☆45Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆14Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆99Updated 3 months ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆77Updated 2 months ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆159Updated last month
- This repository contains codes that were executed during my training in the CQF (Certificate in Quantitative Finance). The codes are orga…☆28Updated last year
- Quant Research☆73Updated 2 months ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆72Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Codes for the concepts related to quantitative finance☆51Updated this week
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 7 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated 2 months ago
- Python library for asset pricing☆115Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆79Updated 8 months ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆99Updated 5 months ago
- ☆81Updated 5 months ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆39Updated last year
- ☆48Updated 6 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Macrosynergy Quant Research☆133Updated this week
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆227Updated 3 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆102Updated 2 months ago
- Applying Differential Machine Learning to Calibrate Heston Model☆17Updated last year