PHBS / RM-QF
PHBS Research Methodology (for Quant Finance and Fintech) Course Website
☆30Updated 8 months ago
Related projects ⓘ
Alternatives and complementary repositories for RM-QF
- PHBS Stochastic Finance Course Website☆27Updated 8 months ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Machine Learning for Finance: 2019-20 Module 3 (Spring 2020)☆67Updated 6 months ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- ☆46Updated 7 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆22Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆81Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆10Updated 6 months ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆17Updated 4 years ago
- Equity return and characteristics of China A-Share market☆13Updated 11 months ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- ☆7Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 4 years ago
- PHBS Applied Stochastic Processes Course Website☆39Updated 6 months ago
- ☆20Updated 3 years ago
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- ☆15Updated 6 years ago
- Risk estimation algorithms☆30Updated 6 years ago