computational-finance topic

Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)

asavine

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...

differential-machine-learning

state of the art C++ pseudo-random number generator library for sequential and parallel Monte Carlo simulations

rabauke

Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

differential-machine-learning

An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

jirotubuyaki

using the Inverse-Transform method to speed up options pricing simulations in R

chicago-joe

Collection of projects oriented around the computational finance domain.

bmoretz

Portfolio optimization package in Python.

kouzapo

Scala OrderBook Reconstructor for high-frequency order-flow data

phelps-sg

Stock Market Prediction on High-Frequency Data Using soft computing based AI models

dksifoua