81 results for “topic:computational-finance”
A Python library for evaluating option trading strategies.
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
Differentiable Programming Algorithms in Modern C++
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.
state of the art C++ pseudo-random number generator library for sequential and parallel Monte Carlo simulations
An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
Collection of projects oriented around the computational finance domain.
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
using the Inverse-Transform method to speed up options pricing simulations in R
Stock Market Prediction on High-Frequency Data Using soft computing based AI models
Python implementation of the basic model described in Chan, Nicholas Tung, and Christian Shelton. "An electronic market-maker."
Portfolio optimization package in Python.
Scala OrderBook Reconstructor for high-frequency order-flow data
Predictive analysis of the OLMAR algorithm
No description provided.
A collection of assignment submissions from the 2021/22 MSc Computational Finance Course.
JASA is a high-performance auction simulator written in JAVA. It is designed for performing experiments in agent-based computational economics.
robo-advisor is a quantitative analysis script written in Python that generates the least volatile portfolio given a list of stocks, with the goal of a 0% return.
Course material for Mathematical and Computational Finance 1
This repository contains some of the implementations related to my master thesis under supervision of Prof Josef Teichmann at ETH Zurich.
Monte Carlo Pricing Library in Python
Computational Financial Mathematics
Application of the Bellman Ford (shortest-path) Algorithm to detect real time arbitrage opportunities in currency trading.
functions and scripts for the course Computational Finance a.c. 2016/2017
A repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.
Some applications in Financial Mathematics.
Quantum Finance + Quantitative Finance
Mathematical Finance
Course material for Mathematical and Computational Finance 1
A novel, hybrid AIT-MDL framework for detecting systemic regime shifts (structural breaks) in complex, non-stationary systems. This repository contains the computational narrative and all code to reproduce the findings of our paper on using predictive error as a direct measure of local rule incoherence.