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Popular repositories Loading

  1. Deep-xVA-Solver Deep-xVA-Solver Public

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

    Python 16 6

  2. DeepBsdeSolverWithJumps DeepBsdeSolverWithJumps Public

    Implementation of "A deep solver for BSDEs with jumps"

    Python 12 1

  3. QuantizationStochasticVolatility QuantizationStochasticVolatility Public

    Recursive Marginal Quantization of Stochastic Volatility Models

    Java 3 1

  4. matrix-functions matrix-functions Public

    Matrix exponential and logarithm for complex matrices

    Java 2 1

  5. finmath-lib finmath-lib Public

    Forked from finmath/finmath-lib

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

    Java 2

  6. Computational-Finance-Course Computational-Finance-Course Public

    Forked from LechGrzelak/Computational-Finance-Course

    Here you will find materials for the course of Computational Finance

    Python 2