QuantLet / MLvsGARCH
☆18Updated last year
Related projects ⓘ
Alternatives and complementary repositories for MLvsGARCH
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 7 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 6 years ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆75Updated last year
- DCC GARCH modeling in Python☆86Updated 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
- Statistical Jump Models in Python, with scikit-learn-style APIs☆37Updated last month
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- Estimation of realized quantities☆15Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆81Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Multivariate GARCH modelling in Python☆15Updated 2 weeks ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆89Updated this week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆27Updated last year
- SVI volatility surface model and an example of China 50ETF option☆59Updated 4 years ago
- ☆46Updated 7 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…☆28Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Advanced Risk and Portfolio Management Resources☆24Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago