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differential-machine-learning / notebooks

Star 138

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 details left out from the papers.

machine-learning deep-learning tensorflow automatic-differentiation pricing derivatives quantitative-finance notebooks regression-models backpropagation risk-management computational-finance aad risk-magazine
  • Updated Oct 5, 2022
  • Jupyter Notebook

jkirkby3 / fypy

Star 80

Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

python finance pricing calibration fourier quant option-pricing quantitative-finance quantitative-trading variance-gamma black-scholes sabr levy levy-processes options-pricing heston stochastic-volatility
  • Updated Oct 19, 2024
  • Python

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