yadongli / nyumath2048Links
NYU Math-GA 2048: Scientific Computing in Finance
☆108Updated 5 years ago
Alternatives and similar repositories for nyumath2048
Users that are interested in nyumath2048 are comparing it to the libraries listed below
Sorting:
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆132Updated 4 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆67Updated 5 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆161Updated 6 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Set of Jupyter (iPython) notebooks (and few pdf-presentations) about things that I am interested on, like Computer Science, Statistics an…☆96Updated 4 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆100Updated 8 months ago
- Listed Volatility and Variance Derivatives (Wiley Finance)☆150Updated 3 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 7 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- ☆83Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- NYU Tandon lecture slides☆32Updated last month
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆81Updated 4 years ago
- Quant Research☆84Updated this week
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆196Updated 8 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆40Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆82Updated 11 months ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- iversity course -- python implementation☆216Updated 11 years ago
- Quantitative Finance Training☆33Updated 8 years ago
- Quantamental finance research with python☆149Updated 3 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated 7 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago