Alternatives and similar repositories for ito_diffusions

Users that are interested in ito_diffusions are comparing it to the libraries listed below

• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 10 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆56Updated 2 years ago
• cvxgrp / cov_pred_finance
  ☆70Updated 6 months ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆44Updated 4 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆17Updated last year
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆135Updated 7 years ago
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆57Updated 2 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆28Updated 5 years ago
• kaiboy05 / fbm
  Fractional Brownian Motion package
  ☆11Updated 3 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆17Updated 3 years ago
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆36Updated 4 years ago
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆21Updated 5 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆13Updated 4 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆60Updated 3 years ago
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆12Updated 7 years ago
• jgatheral / RationalRoughHeston
  ☆12Updated last year
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆15Updated 4 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆56Updated 4 months ago
• Deckstar / Multifractal-Model-of-Asset-Returns-MMAR-for-Thesis
  I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in t…
  ☆47Updated 5 years ago