BSIC / VaRLinks
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 8 years ago
Alternatives and similar repositories for VaR
Users that are interested in VaR are comparing it to the libraries listed below
Sorting:
- ☆36Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- ☆35Updated 7 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Root-finding algos, Black-Scholes and trees with Python☆44Updated 11 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆120Updated 4 years ago
- Python tools to quantitatively manage financial risk☆68Updated 5 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Contains the code for my financial machine learning articles☆49Updated 4 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- A lightweight Python library for running simple Monte Carlo Simulations on Pandas Series data☆227Updated 6 years ago
- finance☆43Updated 8 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆57Updated 8 years ago
- Python based Quant Finance Models, Tools and Algorithmic Decision Making☆46Updated 7 years ago
- Deep Learning Stock Volatility with Google Domestic Trends: https://arxiv.org/pdf/1512.04916.pdf☆93Updated 3 years ago
- Simple portfolio analysis and management.☆28Updated 3 years ago
- ☆27Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Updated 8 years ago
- A python program to implement the discrete binomial option pricing model☆83Updated 3 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 5 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆73Updated 5 years ago
- Repository of Python for Finance Cookbook, published by Packt☆86Updated 4 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Automatically exported from code.google.com/p/ibswigsystematicexamples☆37Updated 8 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆24Updated 6 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆132Updated 4 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago