Rakhymzhann1997

Rakhymzhann1997's Stars

• lballabio/QuantLib

  The QuantLib C++ library

  Language:C++5.5k2596191.8k

• maziarraissi/PINNs

  Physics Informed Deep Learning: Data-driven Solutions and Discovery of Nonlinear Partial Differential Equations

  Language:Python4.1k121561.3k

• dealii/dealii

  The development repository for the deal.II finite element library

  Language:C++1.4k793.5k756

• LechGrzelak/QuantFinanceBook

  Quantitative Finance book

  Language:Python531184173

• LechGrzelak/Computational-Finance-Course

  Here you will find materials for the course of Computational Finance

  Language:Python390150139

• lyc102/ifem

  iFEM is a MATLAB software package containing robust, efficient, and easy-following codes for the main building blocks of adaptive finite element methods on unstructured simplicial grids in both two and three dimensions.

  Language:MATLAB22616882

• LechGrzelak/FinancialEngineering_IR_xVA

  Language:Python2106297

• oseledets/TT-Toolbox

  The git repository for the TT-Toolbox

  Language:MATLAB193223773

• Robin-Guilliou/Option-Pricing

  Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

  Language:Jupyter Notebook735017

• XBraid/xbraid

  XBraid Parallel-in-Time Solvers

  Language:C73114425

• shayneobrien/numerical-methods

  Methods in numerical analysis. Includes: Lagrange interpolation, Chebyshev polynomials for optimal node spacing, iterative techniques to solve linear systems (Gauss-Seidel, Jacobi, SOR), SVD, PCA, and more.

  Language:Matlab443011

• jcfrei/Heston

  Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

  Language:Matlab385218

• ISM-Weimar/DeepEnergyMethods

  Language:Python378520

• ViktorC/PararealML

  A machine learning boosted parallel-in-time differential equation solver framework.

  Language:Python26414

• aganse/InvGN

  Calculate Tikhonov-regularized, Gauss-Newton nonlinear iterated inversion to solve the damped nonlinear least squares problem (Matlab code).

  Language:Matlab22306

• redbzi/NM-Heston

  ADI Finite Difference schemes for option pricing using the Heston model

  Language:Python17004

• AlessandroGnoatto/Deep-xVA-Solver

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

  Language:Python16306

• Institute-for-Risk-and-Reliability/NURBS-Toolbox

  MATLAB Toolbox including a collection of routines for the creation, and manipulation of Non-Uniform Rational B-Splines (NURBS), based on the NURBS toolbox by Mark Spink.

  Language:MATLAB14104

• LechGrzelak/PyStochasticVolatility

  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computing option price under SV.

  Language:Python12007

• tamaskis/tridiagonal-MATLAB

  Solves the tridiagonal linear system Ax = d for x using the tridiagonal matrix algorithm (i.e. the Thomas algorithm).

  Language:MATLAB12101

• oliverpierson/volterra

  Volterra Integral Equation Solver

  Language:Python11305

• vincent27hugh/FEM_Heston_Model

  We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.

  Language:MATLAB9301

• abhiyanpaudel/basic_FVM_book_codes

  Basic Finite Volume Method codes of example problems

  Language:MATLAB8101

• lanstonchu/RBF-PDE

  Radial Basis Function Methods for Solving Partial Differential Equations (Vanilla and Exotic Options)

  Language:Matlab5103

• standing-o/Numerical_Methods_for_Fractional_Derivative

  Numerical implementation of fractional derivative and integral

  Language:MATLAB5101

• IuliaMartinaBulai/VIE_Toolbox

  Volterra Integral Equation Toolbox

  Language:MATLAB1

• JalendraIITP/Option_Pricing_using_Machine_Learning

  This is a Option Price Calculator designed using ANN & ReactJS & Flask

  Language:Jupyter Notebook1

• junliu2050/PinT-AmericanOptions

  Parallel-in-Time Iterative Methods for Pricing American Options

  Language:MATLAB1100

• kpentland/StochasticParareal

  This repository contains sample code for the pre-print paper by Pentland, Tamborrino, Sammadar & Appel - "Stochastic parareal: a novel application of probabilistic methods to time-parallelisation".

  Language:MATLAB10

• mbarikbin/SCM_SIE

  Iterative shifted Chebyshev method for nonlinear stochastic Ito_Volterra integral equations

  Language:MATLAB1