vallematteo

PhD Candidate at the University of Amsterdam

Amsterdam

Pinned Repositories

BeforeIT.jl
A fast and modular Julia implementation of the macroeconomic ABM of [Poledna et al., European Economic Review (2023)]
Language:Julia00
Computational-Finance-Course-Lech-Grzelach
Here you will find materials for the course of Computational Finance by Lech Grzelach
Language:Jupyter Notebook00
flood_credit_risk_abm
Language:Python00
NN-StochVol-Calibrations
We implement the paper: Deep Learning Volatility
Language:Jupyter Notebook0 0 00
rough_volatility
The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets".
Language:Jupyter Notebook00
RoughFCLT
Language:Jupyter Notebook00
vallematteo.github.io
Language:SCSS00

vallematteo/BeforeIT.jl
A fast and modular Julia implementation of the macroeconomic ABM of [Poledna et al., European Economic Review (2023)]
Language:Julia00
vallematteo/Computational-Finance-Course-Lech-Grzelach
Here you will find materials for the course of Computational Finance by Lech Grzelach
Language:Jupyter Notebook00
vallematteo/flood_credit_risk_abm
Language:Python00
vallematteo/NN-StochVol-Calibrations
We implement the paper: Deep Learning Volatility
Language:Jupyter Notebook0 0 00
vallematteo/rough_volatility
The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets".
Language:Jupyter Notebook00
vallematteo/RoughFCLT
Language:Jupyter Notebook00
vallematteo/vallematteo.github.io
Language:SCSS00