Alternatives and similar repositories for two_factor_quintic_ou

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

• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆71Updated last year
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆135Updated 7 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆103Updated 9 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• cvxgrp / cov_pred_finance
  ☆70Updated 6 months ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆125Updated 2 months ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆123Updated last year
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆83Updated 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
• zoonek / 2025-sharpe-ratio
  Code for the paper "How to use the Sharpe ratio"
  ☆68Updated this week
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆99Updated last year
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆55Updated 6 years ago
• convexfi / intradayModel
  Modeling of intraday volatility and volume in financial markets
  ☆16Updated 2 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆121Updated 11 months ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆66Updated 3 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆56Updated 2 years ago
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆44Updated last year
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆117Updated 6 years ago
• luphord / yield_curve_dynamics
  A cursory look at the dynamics of zero coupon bond yield curves.
  ☆15Updated 3 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆25Updated 8 years ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆197Updated 3 months ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆22Updated 5 years ago
• tinoproductions / DirtyQuant
  Code that I show on my YouTube Channel
  ☆103Updated 2 years ago
• YuMan-Tam / deep-hedging
  Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
  ☆162Updated 4 years ago
• milenavuletic / Fin-GAN
  Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"
  ☆135Updated last year
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 3 years ago