☆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:
- 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
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆19Jun 10, 2022Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- 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
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 4 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 8 years ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆14Oct 11, 2023Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 4 months ago
- A lean package to estimate financial asset betas☆14Feb 12, 2023Updated 3 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆85Aug 21, 2018Updated 7 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Dec 16, 2015Updated 10 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- ☆10Nov 16, 2021Updated 4 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.
- ☆81Dec 22, 2022Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- GARCH models estimated using autodiff.☆19May 23, 2026Updated last month
- ☆16Jul 17, 2020Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Apr 23, 2024Updated 2 years ago
- ☆17Oct 25, 2023Updated 2 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated last year
- Simulation of Stock Data Using Recurrent GAN☆18Sep 2, 2021Updated 4 years ago
- Pairs Trading in Python☆28Apr 25, 2021Updated 5 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- ☆17Nov 17, 2021Updated 4 years ago
- Quant/Algorithm trading resources with an emphasis on Machine Learning☆13May 18, 2019Updated 7 years ago
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Linear regression modelling of the Ames housing dataset, with the goal of predicting the house sale price, as published in Towards Data S…