financialengineerlab Goto Github PK

hw10

Homework 10 - LIBOR market model

hw2f_trinomial_tree_cpp

Financial Computing in C++

hybridmodelsonclusters-mpmpisharedmm

OpenMP, MPI and MPI shared memory implementations of a simple matrix multiplication algorithm

ie523

imc_prosperity_trading_bot

a copy of our trading bot in the IMC prosperity trading competition

imperial_hft

imt2021

Projects for the "Introduction to QuantLib" course 2021 at IMT

imt2024

infotrad_bmm

InfoTrad: Calculates the Probability of Informed Trading (PIN)

insider-multiapp

A modified version of Insider system that supports simultaneous multiple applications.

interest_rate_derivatives-cpp

C++ package to price rate floors and caps

interesting-rates_py_hw

Economic models and things in Pytorch

interestratemodelscpp

intern-summer-2022-py-vol

Arbitrage-free Parametrization of Vol Surface

ipythonscripts

Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning

ir_xva_lecturenotes

irdpricinglib-cpp

A library for interest rate derivative pricing.

irservice-qlficc

isda_cds_model_c_v1.8.3_mvs2022

isda_simm

Implementation of ISDA SIMM v2.3 & 2.4

jpnbforsvi

Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

kalman-and-bayesian-filters-in-python

Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.

kalman-cpp

Basic Kalman filter implementation in C++ using Eigen

kalman-filter-dynamic-nelson-siegel-and-svensson

Dynamic Nelson-Siegel and Svensson in one step

kalman_filter-py

Kalman Filter in Python (파이썬으로 구현하는 칼만 필터)

kalmanfilter

:exclamation: This is a read-only mirror of the CRAN R package repository. kalmanfilter — Kalman Filter

kalx-fmssvi

kalx-libfms

kdbquantlib

APIs for interfacing kdb+ with QuantLib, a quantitative finance library written in C++

knou-2023-01