QuantLet / MLvsGARCHLinks
☆20Updated 9 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☆38Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆119Updated 2 weeks ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- DCC GARCH modeling in Python☆97Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆95Updated 7 months ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16Updated 8 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- ☆52Updated 8 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 HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 6 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆177Updated last month
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year