AlexandreMoulti / bachelierLinks
☆10Updated 5 years ago
Alternatives and similar repositories for bachelier
Users that are interested in bachelier are comparing it to the libraries listed below
Sorting:
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆89Updated 7 months ago
- ☆27Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Development space for PhD in Finance☆34Updated 5 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 5 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆141Updated 2 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆113Updated 2 years ago
- HAR-RV Model For Realized Volatility☆32Updated 9 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆25Updated 7 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- As described in Advances of Machine Learning by Marcos Prado.☆122Updated 3 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆101Updated 3 weeks ago
- Financial security modelling with Python and QuantLib☆34Updated 11 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- ☆44Updated last year
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- ☆75Updated 3 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆124Updated 2 years ago
- finance☆43Updated 8 years ago