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cantaro86
Financial-Models-Numerical-Methods cantaro86
976
5.4k
agpl-3.0
137
Collection of notebooks about quantitative finance, with interactive python code.
python econometrics heston-model kalman-filter levy-processes option-pricing brownian-motion american-options fourier-inversion jupyter-notebooks linear-regression monte-carlo-methods quantitative-finance stochastic-processes financial-engineering financial-mathematics linear-systems-equations jump-diffusion-mertons-model partial-differential-equations stochastic-differential-equations
Created 2019-09-10
71 commits to master branch, last one 4 months ago
mschauer
Bridge.jl mschauer
19
111
other
10
A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.
sde mcmc julia vasicek diffusion levy-process gamma-process brownian-motion bayesian-inference ornstein-uhlenbeck diffusion-processes simulating-diffusion-bridges stochastic-differential-equations
Created 2015-09-15
549 commits to master branch, last one 3 years ago
bradleyboyuyang
Statistical-Arbitrage bradleyboyuyang
23
105
mit
4
High-frequency statistical arbitrage
vasicek black-scholes option-greeks pairs-trading wiener-process brownian-motion statistical-arbitrage backtesting-frameworks high-frequency-trading ornstein-uhlenbeck-process
Created 2022-12-23
25 commits to master branch, last one 11 months ago
SciML
DiffEqNoiseProcess.jl SciML
31
62
other
7
A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)
sde sciml neural-sde wiener-process brownian-motion noise-processes stochastic-processes differential-equations scientific-machine-learning
Created 2017-04-19
666 commits to master branch, last one about a month ago