#Computational-finance

asavine

CompFinance

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

grinisrit

noa

Differentiable Programming Algorithms in Modern C++

differential-machine-learning

notebooks

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.

differential-machine-learning

appendices

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

chicago-joe

Option-Pricing-via-Levy-Models-in-R

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

ebrahimpichka

open-MFE

A community-curated vault of openly available resources that replicates the rigorous syllabus of top MFE / Quant Finance programs

phelps-sg

learning-market-maker

Python implementation of the basic model described in Chan, Nicholas Tung, and Christian Shelton. "An electronic market-maker."

kouzapo

QFiPy

Portfolio optimization package in Python.

hjstobart

msc-computational-finance

A collection of assignment submissions from the 2021/22 MSc Computational Finance Course.