4 results found Sort:

rgaveiga
optionlab rgaveiga
40
217
gpl-3.0
12
A Python library for evaluating option trading strategies.
black-scholes options-pricing options-trading trading-algorithms trading-strategies computational-finance
Created 2023-07-04
60 commits to main branch, last one 2 days ago
asavine
CompFinance asavine
60
159
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 2 years ago
differential-machine-learning
notebooks differential-machine-learning
51
133
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 about a year ago
rabauke
trng4 rabauke
21
115
bsd-3-clause
7
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
185 commits to master branch, last one about a month ago