AlessandroGnoatto

BiaginiEtAlExamples

Examples for the paper "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin" https://arxiv.org/abs/1905.11328

CBIMultiCurve

Multiple Curve Models based on CBI processes

Computational-Finance-Course

Here you will find materials for the course of Computational Finance

Deep-xVA-Solver

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

DeepBsdeSolverWithJumps

Implementation of "A deep solver for BSDEs with jumps"

finmath-lib

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

matrix-functions

Matrix exponential and logarithm for complex matrices

QuantizationStochasticVolatility

Recursive Marginal Quantization of Stochastic Volatility Models

sofr

SOFR curve bootstrapping

SwapsBook

Interest Rate Swaps – Theory, Pricing and Practice

AlessandroGnoatto/Deep-xVA-Solver

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

AlessandroGnoatto/DeepBsdeSolverWithJumps

Implementation of "A deep solver for BSDEs with jumps"

AlessandroGnoatto/QuantizationStochasticVolatility

Recursive Marginal Quantization of Stochastic Volatility Models

AlessandroGnoatto/Computational-Finance-Course

Here you will find materials for the course of Computational Finance

AlessandroGnoatto/finmath-lib

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

AlessandroGnoatto/SwapsBook

Interest Rate Swaps – Theory, Pricing and Practice

AlessandroGnoatto/BiaginiEtAlExamples

Examples for the paper "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin" https://arxiv.org/abs/1905.11328

AlessandroGnoatto/sofr

SOFR curve bootstrapping

AlessandroGnoatto/CBIMultiCurve

Multiple Curve Models based on CBI processes

AlessandroGnoatto/CBITCL_FX_FontanaGnoattoSzulda

AlessandroGnoatto/cgmy

AlessandroGnoatto/curve-building

Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.

AlessandroGnoatto/Deep_quadratic_hedging

AlessandroGnoatto/DeepBSDE

Deep BSDE solver in TensorFlow

AlessandroGnoatto/DeepLearningForMDPs

Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916

AlessandroGnoatto/KLMC

AlessandroGnoatto/learn-scala-java-devs

Source code for 'Scala for Java Developers: A Practical Primer' by Toby Weston

AlessandroGnoatto/limit-order-book

Bitstamp real time console based limit order book

AlessandroGnoatto/Linear-Algebra-With-Python

AlessandroGnoatto/metis

Webpage: https://jgcri.github.io/metis/ Cheatsheet: https://github.com/JGCRI/metis/blob/master/metisCheatsheet.pdf

AlessandroGnoatto/NN-StochVol-Calibrations

We implement the paper: Deep Learning Volatility

AlessandroGnoatto/OptStopRandNN

code for "Optimal Stopping via Randomized Neural Networks"

AlessandroGnoatto/PythonDataScienceHandbook

Python Data Science Handbook: full text in Jupyter Notebooks

AlessandroGnoatto/Qknn_algo

Some codes used for the numerical examples proposed in https://arxiv.org/abs/1803.00445

AlessandroGnoatto/qrm

qrm

AlessandroGnoatto/QuantFinanceBook

Quantitative Finance book

AlessandroGnoatto/QuantizationFBSDE

Implementation of "A fully quantization-based scheme for FBSDEs"

AlessandroGnoatto/reinforcement-learning-an-introduction

Python Implementation of Reinforcement Learning: An Introduction

AlessandroGnoatto/ssj

Stochastic Simulation in Java

AlessandroGnoatto/yahoofinance-api

Java Client API for Yahoo Finance