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bqplot

Plotting library for IPython/Jupyter notebooks

compfinance

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

curve-building

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

cvar_analysis

Shows the basic value at risk (VAR) and conditional value at risk (CVAR) analysis on yfinance collected data using Python.

deephedging

Implementation of the vanilla Deep Hedging engine

frtb

A primer on the FRTB expected shortfall (ES) estimation and back testing.

kr_example

machine-learning-and-reinforcement-learning-in-finance

Machine Learning and Reinforcement Learning in Finance New York University Tandon School of Engineering

secretary-problem-rl-ddqn

sofr

SOFR curve bootstrapping

volatility

Simple volatility surface parametrization example.