rsadykhov / stochastic-modelsLinks
Python code of commonly used stochastic models for Monte-Carlo simulations
☆28Updated 3 years ago
Alternatives and similar repositories for stochastic-models
Users that are interested in stochastic-models are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- ☆72Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆18Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 8 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- ☆45Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆86Updated 3 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆78Updated 3 years ago
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆39Updated 4 years ago
- ☆19Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆77Updated 4 months ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- Advanced Risk and Portfolio Management Resources☆28Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- ADI Finite Difference schemes for option pricing using the Heston model☆18Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆42Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆19Updated 9 months ago
- Implementations of Leading Algorithms in Quantitative Finance☆49Updated 8 years ago