Joshwani / learning-lppl
☆8Updated 5 years ago
Alternatives and similar repositories for learning-lppl:
Users that are interested in learning-lppl are comparing it to the libraries listed below
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- ☆63Updated 2 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆34Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- ☆148Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆65Updated 3 months ago
- ☆19Updated 6 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆110Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆69Updated 3 months ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆153Updated last year
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Python Copula Module☆43Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆117Updated last year
- Probability of Backtest Overfitting in Python☆123Updated last year
- Code that I show on my YouTube Channel☆98Updated last year
- C++ implementation of rBergomi model☆24Updated 6 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year