BSIC / VaR
Simple VaR calculation in Python, both for single value and VaR series in time. Supported formulas at the moment include: Parametric Normal, Parametric EWMA, Historical Simulation and Filtered Historical Simulation with EWMA.
☆40Updated 7 years ago
Alternatives and similar repositories for VaR:
Users that are interested in VaR are comparing it to the libraries listed below
- By means of stochastic volatility models☆43Updated 4 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆117Updated 3 years ago
- ☆35Updated 2 years ago
- Tutorials about Machine Learning and Deep Learning☆29Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆104Updated 5 years ago
- Financial security modelling with Python and QuantLib☆34Updated 10 years ago
- ☆35Updated 7 years ago
- Deep Learning Stock Volatility with Google Domestic Trends: https://arxiv.org/pdf/1512.04916.pdf☆92Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- ☆27Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 6 years ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 4 years ago
- ☆28Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Listed Volatility and Variance Derivatives (Wiley Finance)☆143Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 9 months ago
- ☆36Updated 6 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Python tools to quantitatively manage financial risk☆65Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated 7 months ago