alessandrognoatto Goto Github PK

biaginietalexamples

Examples for the paper "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin" https://arxiv.org/abs/1905.11328

cbimulticurve

Multiple Curve Models based on CBI processes

cbitcl_fx_fontanagnoattoszulda

cgmy

computational-finance-course

Here you will find materials for the course of Computational Finance

creditriskoptimizer

CreditRisk+ java implementation and portfolio optimization via Genetic Algorithm

curve-building

Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.

deep-xva-solver

Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633

deep_quadratic_hedging

deepbsde

Deep BSDE solver in TensorFlow

deepbsdesolverwithjumps

Implementation of "A deep solver for BSDEs with jumps"

deeplearningformdps

Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916

finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

helloworld

intensitycreditmodels

Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.

klmc

learn-scala-java-devs

Source code for 'Scala for Java Developers: A Practical Primer' by Toby Weston

limit-order-book

Bitstamp real time console based limit order book

mafinlib

matrix-functions

Matrix exponential and logarithm for complex matrices

metis

Webpage: https://jgcri.github.io/metis/ Cheatsheet: https://github.com/JGCRI/metis/blob/master/metisCheatsheet.pdf

nn-stochvol-calibrations

We implement the paper: Deep Learning Volatility

optstoprandnn

code for "Optimal Stopping via Randomized Neural Networks"

pythondatasciencehandbook

Python Data Science Handbook: full text in Jupyter Notebooks

qknn_algo

Some codes used for the numerical examples proposed in https://arxiv.org/abs/1803.00445

qrm

qrm

quantfinancebook

Quantitative Finance book

quantizationfbsde

Implementation of "A fully quantization-based scheme for FBSDEs"

quantizationstochasticvolatility

Recursive Marginal Quantization of Stochastic Volatility Models

reinforcement-learning-an-introduction

Python Implementation of Reinforcement Learning: An Introduction