JackMansfield2019 / 2023-Rotman-Trading-Competition
Rensselaer Polytechnic Institute's submission for the 2023 Rotman International Trading Competition
☆10Updated 2 years ago
Alternatives and similar repositories for 2023-Rotman-Trading-Competition:
Users that are interested in 2023-Rotman-Trading-Competition are comparing it to the libraries listed below
- volatility arbitrage in Heston model☆45Updated last week
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- Tracking S&P 500 index with deep learning model☆12Updated last year
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆80Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆75Updated 3 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- quantitative asset allocation strategy☆23Updated 2 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆50Updated 4 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆37Updated 4 years ago
- ☆71Updated 4 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- SOFR curve bootstrapping☆23Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 3 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆46Updated 5 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 11 months ago
- three stochastic volatility model: Heston, SABR, SVI☆86Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Machine learning methods for identifing investment factors☆19Updated 2 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆18Updated 2 years ago
- ☆19Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆52Updated 2 years ago
- ARIMA & GARCH models for stock price prediction☆18Updated 4 years ago
- ☆17Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated 10 months ago
- ☆81Updated 4 months ago