ucaiado / FiniteDifference_PricingLinks
Pricing derivatives using the explicit finite-difference method
☆13Updated 9 years ago
Alternatives and similar repositories for FiniteDifference_Pricing
Users that are interested in FiniteDifference_Pricing are comparing it to the libraries listed below
Sorting:
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- Talk Materials for "Convex Optimization for Finance"☆29Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- BlackScholes Model, with Montecarlo implmented in python with TensorFlow☆17Updated 9 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Python Monte Carlo Simulation to model returns from randomly generated portfolios against a benchmark index.☆23Updated 10 years ago
- Portfolio optimization package in Python.☆16Updated 5 years ago
- A framework for detecting misreported returns in hedge funds.☆16Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- A comprehensive approach for stock trading implemented using Neural Network and Reinforcement Learning separately.☆22Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- ☆14Updated 6 years ago
- My work on UCSD CSE 250B Principles of Artificial Intelligence: Learning Algorithms☆13Updated 6 years ago
- Monte Carlo Submission Examples☆17Updated last year
- ☆13Updated 3 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.☆21Updated 11 years ago
- ☆20Updated 8 years ago
- (Work In Progress) Implementation of "Financial Time Series Prediction Using Deep Learning"☆16Updated 7 years ago
- Model Calibration with Neural Networks☆48Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- finance☆43Updated 8 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆47Updated 8 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆73Updated 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
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆28Updated 3 years ago
- Underlying package for the 10-line cta☆12Updated this week