AlbertLin0327 / Least-Square-Monte-CarloLinks
A Program to calculate the price of American put or call option with Least Square Monte Carlo
☆15Updated 2 years ago
Alternatives and similar repositories for Least-Square-Monte-Carlo
Users that are interested in Least-Square-Monte-Carlo are comparing it to the libraries listed below
Sorting:
- Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.☆15Updated last year
- ☆14Updated 4 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆17Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- A Quantitative Finance Engineering Project☆15Updated 2 years ago
- ☆18Updated 2 years ago
- This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…☆10Updated 4 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆14Updated 4 years ago
- A pricing program for a whole-life insurance with annuity☆11Updated 4 years ago
- ☆15Updated 4 years ago
- Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, est…☆31Updated last year
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆46Updated 6 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆16Updated 2 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆29Updated this week
- quantitative asset allocation strategy☆34Updated last year
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Updated 5 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- modeling FICC market with QuantLib☆22Updated 3 years ago
- Resources for Quantitative Finance☆17Updated 2 years ago
- Option Pricing with Machine Learning Methods☆15Updated last year
- A repository for retirement and wealth management simulations.☆19Updated 5 months ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆26Updated 5 years ago
- ☆24Updated 4 years ago
- Code that I show on my YouTube Channel☆104Updated 2 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆41Updated last month
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆17Updated last year
- Fama French model on a subset of Canadian Equity data with Python☆49Updated 6 years ago