QuantLet / MLvsGARCHLinks
☆20Updated 7 months ago
Alternatives and similar repositories for MLvsGARCH
Users that are interested in MLvsGARCH are comparing it to the libraries listed below
Sorting:
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- DCC GARCH modeling in Python☆96Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- quantitative asset allocation strategy☆32Updated 7 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆88Updated 5 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- 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
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆83Updated 7 months ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago