Project Name	Stars	Most Recent Commit	Open Issues	License	Language
Xad	203	3 months ago	9	agpl-3.0	C++
Comprehensive automatic differentiation in C++
Notebooks	101	2 years ago	2		Jupyter Notebook
Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.
Compfinance	86	3 years ago	1		C++
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
Autohedge.jl	53	10 months ago	1	mit	Julia
Automatic Options Hedging and Backtesting
Appendices	25	2 years ago
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
Openredukti	6	9 months ago	4	gpl-3.0	C
OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).

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Xad ⭐ 203

Comprehensive automatic differentiation in C++

most recent commit 3 months ago

Notebooks ⭐ 101

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

most recent commit 2 years ago

Compfinance ⭐ 86

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

most recent commit 3 years ago

Autohedge.jl ⭐ 53

Automatic Options Hedging and Backtesting

most recent commit 10 months ago

Appendices ⭐ 25

Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

most recent commit 2 years ago

Openredukti ⭐ 6

OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).

most recent commit 9 months ago

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