quantgirluk / ICMMLinks
📝 Introduction to Monte Carlo methods in Finance Workshop Materials
☆19Updated 2 years ago
Alternatives and similar repositories for ICMM
Users that are interested in ICMM are comparing it to the libraries listed below
Sorting:
- ☆24Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- ☆10Updated 5 years ago
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- Financial Strategy Resources☆16Updated 3 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 6 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆77Updated 3 months ago
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- ☆16Updated 4 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆28Updated 5 years ago
- Computational Finance: option-pricing and risk-management models; Final Project: Pricing a Multi-Asset American Put Option by a Finite El…☆10Updated 7 years ago
- ☆14Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Source code for Multicriteria Portfolio Construction with Python☆30Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Source Code for 'Implementing Machine Learning for Finance' by Tshepo Chris Nokeri☆33Updated 4 years ago
- ☆18Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Quant finance scripts☆16Updated 2 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated 2 years ago
- ☆23Updated 3 months ago