☆23Apr 1, 2022Updated 4 years ago
Alternatives and similar repositories for KR_example
Users that are interested in KR_example are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- High performance hybrid Monte Carlo simulation☆10Jun 3, 2026Updated last week
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 2 months ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- A lean package to estimate financial asset betas☆13Feb 12, 2023Updated 3 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 8 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- ☆12Dec 22, 2023Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆82Aug 21, 2018Updated 7 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆22Sep 3, 2024Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆17Jul 3, 2021Updated 4 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Dec 16, 2015Updated 10 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆13Oct 11, 2023Updated 2 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆21Aug 20, 2024Updated last year
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- ☆10Nov 16, 2021Updated 4 years ago
- ☆82Dec 22, 2022Updated 3 years ago
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆17Jun 19, 2023Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- ☆17Nov 17, 2021Updated 4 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Quant/Algorithm trading resources with an emphasis on Machine Learning☆13May 18, 2019Updated 7 years ago
- Risk & Valuation in Python☆16Dec 19, 2025Updated 5 months ago
- ☆21Jun 28, 2022Updated 3 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Convolutional Neural Network (CNN) was trained on 48x48 pixel grayscale images to predict 5 different emotions from images. Ten different…☆11Sep 21, 2022Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆67Jul 17, 2022Updated 3 years ago
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 5 years ago