48 Open source projects that are alternatives of or similar to rough_bergomi

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Some Monte Carlo tools

Computational Methods for Numerical Analysis

A native Julia code for lattice QCD with dynamical fermions in 4 dimension.

Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging

Markov chain Monte Carlo solver for lattice spin systems implemented by Julialang

machine learning

Python implementation of the Ising model

Financial Derivatives Calculator with 168+ Models (Options Calculator)

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BioSTEAM's Premier Repository for Biorefinery Models and Results

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physics meets neural networks

Applications of Monte Carlo methods to financial engineering projects, in Python.

Physically based renderer with Path Tracing and Photon Mapping.

Implementations of the Heston stochastic volatility model

🌳 Domain independent implementation of Monte Carlo Tree Search methods.

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Infinite order automatic differentiation for Monte Carlo with unnormalized probability distribution

Planning for robotic exploration based on forward simulation

Monte Carlo eXtreme for OpenCL (MCXCL)

This repository contains implementations of some basic sampling methods in numpy.

Gathers machine learning and deep learning models for Stock forecasting including trading bots and simulations

Classical and quantum Monte Carlo simulations in Julia

continuous energy monte carlo neutron transport in general geometries on GPUs

UQpy (Uncertainty Quantification with python) is a general purpose Python toolbox for modeling uncertainty in physical and mathematical systems.

VegasFlow: accelerating Monte Carlo simulation across multiple hardware platforms

A dynamic microsimulation framework for python

A sharing of the learning process of mathematical modeling 数学建模常用工具模型算法分享：数学建模竞赛优秀论文，数学建模常用算法模型，LaTeX论文模板，SPSS工具分享。

A Python module for carrying out GCMC insertions and deletions of water molecules in OpenMM.

An instructive one-file Ruby path tracer

A probabilistic programming language that combines automatic differentiation, automatic marginalization, and automatic conditioning within Monte Carlo methods.

GOMC - GPU Optimized Monte Carlo is a parallel molecular simulation code designed for high-performance simulation of large systems

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

Monte Carlo eXtreme (MCX) - GPU-accelerated photon transport simulator

Lattice gas Monte Carlo simulation code

Application of the L2HMC algorithm to simulations in lattice QCD.

Classical Monte Carlo simulations for lattice spin systems

A software to shortlist and find the best options spread available for a given stock and help it visualise using payoff graphs.

Teaching Utility for Classical Atomistic Simulation.

Collection of notebooks about quantitative finance, with interactive python code.

Simple python/streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.

Black Scholes formula and greeks

I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.

Python Financial ENGineering (PyFENG package in PyPI.org)

European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

Live streaming option chain for equity derivatives using Kite connect Websocket based on redis.