rsadykhov / stochastic-models
Python code of commonly used stochastic models for Monte-Carlo simulations
☆27Updated 2 years ago
Alternatives and similar repositories for stochastic-models:
Users that are interested in stochastic-models are comparing it to the libraries listed below
- Code that I show on my YouTube Channel☆93Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆95Updated last month
- 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…☆37Updated 11 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆59Updated last month
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- detecting regime of financial market☆34Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- ☆45Updated last year
- Price options analytically given stock price characteristic function☆15Updated 9 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 4 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆64Updated 10 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆56Updated last week
- Quant Research☆68Updated 2 weeks ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated last month
- ☆70Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆68Updated 2 years ago
- ☆32Updated 8 months ago
- Quantum Computing for Finance☆15Updated last week
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆103Updated 11 months ago
- ☆12Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- ☆51Updated last year