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anyrl-py

A reinforcement learning framework

autodiff

automatic differentiation made easier for C++

awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

code-samples

Source code examples from the Parallel Forall Blog

compfinance

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

cuda-utilities

Utilities for CUDA programming

cuda_mc

Monte Carlo simulation to option pricing in CUDA

cudapad

CudaPAD is a PTX/SASS viewer for NVIDIA Cuda kernels and provides an on-the-fly view of the assembly.

deep-q-learning

Minimal Deep Q Learning (DQN & DDQN) implementations in Keras

deep_rl_trader

Trading Environment(OpenAI Gym) + DDQN (Keras-RL)

dependencies

A rewrite of the old legacy software "depends.exe" in C# for Windows devs to troubleshoot dll load dependencies issues.

dqn-trader

Trading using Deep Q Learning

engine

Open Source Risk Engine

exceldna

Excel-DNA - Free and easy .NET for Excel. This repository contains the core Excel-DNA library.

financebench

financepy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

fst-cuda-option-pricing

Pricing European and American options with jump models using CUDA on the GPU

gpu-option-pricing

Financial option pricing on the Graphics Processing Unit

hybridmontecarlo

Monte Carlo simulation for financial instruments.

interest-rate-tree-calibration

Black-Derman-Toy model

ipython_notebooks

Set of Jupyter (iPython) notebooks (and few pdf-presentations) about things that I am interested on, like Computer Science, Statistics and Machine-Learning, Artificial Intelligence (AI), Financial Engineering, Optimization, Stochastic Modelling, Time-Series forecasting, Science in general... and more.

keras-rl

Deep Reinforcement Learning for Keras.

libor-market-model

Implementation of term structure model project

libormarketmodel

Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option

libormodel

Market Model Calibration using QuantLib

mafs5220

multiprocessing.exposures

myquantlib

openxlsx

A C++ library for reading, writing, creating and modifying Microsoft Excel® (.xlsx) files.

optionmatrix

Financial Derivatives Calculator with 168+ Models (Options Calculator)