5 results found Sort:

rgaveiga
optionlab rgaveiga
72
368
gpl-3.0
17
A Python library for evaluating option trading strategies.
black-scholes options-pricing options-trading trading-algorithms trading-strategies computational-finance
Created 2023-07-04
66 commits to main branch, last one 2 months ago
asavine
CompFinance asavine
65
180
unknown
20
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
antoine-savine parallel-computing mathematical-finance quantitative-finance computational-finance monte-carlo-simulation automatic-differentiation
Created 2017-08-21
144 commits to master branch, last one 3 years ago
grinisrit
noa grinisrit
28
144
other
4
Differentiable Programming Algorithms in Modern C++
simulation bayesian-methods particle-physics algorithmic-trading computational-finance computational-physics optimisation-algorithms automatic-differentiation differentiable-programming
Created 2020-09-16
1,246 commits to master branch, last one 5 days ago
differential-machine-learning
notebooks differential-machine-learning
51
142
unknown
15
Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation det...
aad pricing notebooks tensorflow derivatives deep-learning risk-magazine backpropagation risk-management machine-learning regression-models quantitative-finance computational-finance automatic-differentiation
Created 2019-12-16
196 commits to master branch, last one 2 years ago
rabauke
trng4 rabauke
21
121
bsd-3-clause
5
state of the art C++ pseudo-random number generator library for sequential and parallel Monte Carlo simulations
hpc library c-plus-plus monte-carlo-methods computational-finance computational-physics pseudo-random-generator
Created 2011-10-29
192 commits to master branch, last one 5 months ago