quantgirluk / ICMMLinks
📝 Introduction to Monte Carlo methods in Finance Workshop Materials
☆21Updated 2 years ago
Alternatives and similar repositories for ICMM
Users that are interested in ICMM are comparing it to the libraries listed below
Sorting:
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- ☆14Updated 6 years ago
- ☆24Updated last year
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- Quant finance scripts☆16Updated 6 months ago
- Monte Carlo Submission Examples☆17Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 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
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆12Updated 2 years ago
- Source Code for 'Implementing Machine Learning for Finance' by Tshepo Chris Nokeri☆33Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 11 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Links for the most relevant topics☆32Updated 5 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆89Updated last month
- 👾 This repository contains files related to my personal website. Charts, Jupyter notebooks, random notes, etc.☆18Updated last year
- ☆12Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆14Updated 4 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago