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ae_vae_masterarbeit

anomaly-detection-with-autoencoder

arbfreeiv-vae

Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.

arbitragerepair

Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.

bayes_gmm

Bayesian Gaussian mixture models in Python.

bayesian-machine-learning

Notebooks about Bayesian methods for machine learning

beyond-surrogate-modeling-learning-the-local-volatility-via-shape-constraints

Repository attached to the paper with the same name.

computational-finance-course

Here you will find materials for the course of Computational Finance

conditional-sig-wasserstein-gans

conditionalgmm

Functions to compute conditional distributions of Gaussian mixture models.

cs207-finalproject

An implementation of Automatic Differentiation in Python

deep-xva-solver

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

differential-ml

Differential machine learning in Keras / Tensorflow 2

effectivemarkovianprojection

Code for the paper "Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions", Felpel, Kienitz, McWalter

financepy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

financialengineering_ir_xva

finmath-forward-initial-margin

finmath-lib

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

finmath-lib-automaticdifferentiation-extensions

Provides additional classes for automatic differentiations (e.g. backward automatic differentiation - aka AAD).

finmath-lib-cuda-extensions

Classes enabling finmath-lib to run its Monte-Carlo models on Cuda GPUs

finmath-lib-plot-extensions

Convenient abstraction layer for different visualisation frameworks and demos of finmath lib

finmath-spreadsheets

Spreadsheets using finmath-lib

funvol

This repository contains the implementation of FuNVol for simulating implied volatility surfaces and market data

gaussian-mixture-models

Gaussian Mixture Model (GMM) and Gaussian Mixture Regression (GMR) implemented purely on numpy

gleam

A library of code that implements discrete local volatility surfaces.

gmm_dcke

Illustration for the paper "GMM DCKE - Semi-Analytic Conditional Expectations"

gmr

Gaussian Mixture Regression

learn_sde

machine-learning---option-pricing-calibration-hedging--

Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging

machine-learning-examples