google/tf-quant-finance

Issues

• Unable to import tf_quant_finance as tff in Colab notebook: Monte_Carlo_Euler_Scheme.ipynb

  #106 opened 8 months ago by ay1011
  0

• Discrete dividens for american options

  #70 opened 2 years ago by mlambelho
  24

• JointItoProcess

  #102 opened a year ago by spilozzi
  0

• New Release

  #101 opened a year ago by alembcke
  0

• TF 2.12 (and Python 3.11) support

  #95 opened a year ago by jonas-eschle
  1

• Negative price for barrier option

  #94 opened a year ago by dlvp
  0

• Options at-expiration return `nan`

  #89 opened a year ago by alembcke
  2

• Hull White Model - calibration not aligning to input prices

  #91 opened a year ago by mchandlernz
  3

• SOFR USD OIS curve

  #90 opened a year ago by lucamichelacci
  0

• Issue with running Bazel tests

  #87 opened a year ago by chinmayrane
  2

• The mailing-list is set to Invite Only

  #86 opened a year ago by blais
  1

• Quant

  #84 opened a year ago by Synergist
  0

• Fair performance comparison with QuantLib

  #80 opened 2 years ago by DmitriGoloubentsev
  9

• Asian Option

  #56 opened 3 years ago by xiaozhi-alan-zhu
  3

• times grid bug (XLA)

  #81 opened 2 years ago by a17brah
  1

• IRS Delta

  #76 opened 2 years ago by rajflume
  1

• conda-forge package

  #77 opened 2 years ago by jonas-eschle
  1

• Month.md and month.md collide on case-insensitive filesystem

  #62 opened 2 years ago by luweizheng
  4

• case-sensitive paths on a case-insensitive filesystem

  #72 opened 2 years ago by jj2023
  4

• XLA compilation error of a TARF payoff with MC

  #73 opened 2 years ago by arthurpham
  16

• American options greeks with PDE is slow

  #67 opened 2 years ago by arthurpham
  1

• Which precision should I use? float32 or float64

  #71 opened 2 years ago by luweizheng
  2

• Memory leak with TF.function

  #68 opened 2 years ago by arthurpham
  2

• BS vol and greeks

  #13 opened 5 years ago by feribg
  10

• Interpolation issue with Hagan West Monotone Convex

  #64 opened 2 years ago by bigfatwhale
  3

• Working example of fwd_gradient

  #27 opened 4 years ago by feribg
  15

• Approximate European option price under Heston model

  #9 opened 5 years ago by cyrilchim
  16

• MonteCarlo Simulation

  #63 opened 2 years ago by DhinNeGeNe
  1

• khronos ML summit

  #61 opened 3 years ago by pboudier
  0

• Missing FDAmericanEngine from quantlib in American_Option_Black_Scholes.ipynb

  #53 opened 3 years ago by arthurpham
  1

• new pip package

  #57 opened 3 years ago by Macfly
  3

• SABR calibration

  #58 opened 3 years ago by Macfly
  7

• ImportError when installing from source code

  #52 opened 3 years ago by alembcke
  3

• Consistent argument names for dividends across option pricing models

  #50 opened 3 years ago by alembcke
  3

• build fails

  #46 opened 3 years ago by LutzWeischerFujitsu
  4

• Numpy version mismatch in the first try

  #49 opened 3 years ago by mahmoodn
  3

• libor market model

  #47 opened 3 years ago by AlexandreMoulti
  3

• Time decay of American options

  #43 opened 3 years ago by omdv
  1

• Integration/interpolation methods

  #39 opened 4 years ago by jonas-eschle
  4

• HestonModel.sample_paths returns variance converging to zero

  #42 opened 3 years ago by simaki
  3

• Approximate European option price under SABR model

  #8 opened 5 years ago by cyrilchim
  21

• Add Levenberg-Marquardt least squares method

  #33 opened 4 years ago by saxena-ashish-g
  2

• Quant Repository

  #37 opened 4 years ago by Faysel33
  0

• TypeError: Can't instantiate abstract class ExampleProcess with abstract methods fd_solver_backward, sample_paths

  #32 opened 4 years ago by franz101
  4

• American option price under Cox-Ross-Rubinstein

  #10 opened 4 years ago by alexandrebrilhante
  5

• Poor Performance in TensorFlow 2.1

  #17 opened 4 years ago by kykosic
  3

• TF 2.0 Compatibility

  #12 opened 4 years ago by shun-lin
  3

• Euler Sample Path does not work under TensorFlow 2.0 with Higher Dimension

  #14 opened 4 years ago by jjchan121
  4

• Monte_Carlo_Euler_Scheme.ipynb

  #15 opened 4 years ago by PBRAOS
  3

• Leverage TF autograd for greeks

  #11 opened 5 years ago by feribg
  1