AIM-IT4 / QuantitativeDerivativeModels
☆45Updated last year
Alternatives and similar repositories for QuantitativeDerivativeModels:
Users that are interested in QuantitativeDerivativeModels are comparing it to the libraries listed below
- Quant Research☆71Updated last month
- Portfolio Construction and Risk Management book's Python code.☆89Updated this week
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- ☆81Updated 4 months ago
- Algo Trading Research & Documentation☆17Updated 10 months ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Python Code for Quantitative Finance Papers☆39Updated 6 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆79Updated 7 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆157Updated 2 weeks ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆67Updated last month
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆43Updated 5 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆111Updated last month
- ☆18Updated last year
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆75Updated 3 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆75Updated 2 years ago
- Macrosynergy Quant Research☆125Updated this week
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆38Updated last year
- volatility arbitrage in Heston model☆45Updated last week
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 4 years ago
- ☆58Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆46Updated 5 years ago
- Python library for asset pricing☆115Updated last year
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆98Updated 2 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆201Updated 2 months ago