Reckziegel / FFPLinks
Fully Flexible Probabilities for Stress-Testing and Portfolio Construction
☆19Updated 3 years ago
Alternatives and similar repositories for FFP
Users that are interested in FFP are comparing it to the libraries listed below
Sorting:
- ☆34Updated 6 months ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆36Updated last month
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- ☆70Updated 6 months ago
- ☆32Updated this week
- Financial AI with Julia☆28Updated last year
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 3 weeks ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆20Updated 10 months ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated 3 weeks ago
- code for turning data sets into trading strategies☆39Updated last month
- A package for Shrinkage Estimation of Covariance Matrices☆31Updated last year
- Large Deviations for volatility options☆13Updated 6 years ago
- C++ implementation of rBergomi model☆25Updated 7 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆24Updated 4 years ago
- critical line algorithm for efficient frontier☆19Updated this week
- Financial Econometrics (MSc, Julia code)☆67Updated 5 months ago
- The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the impl…☆21Updated 2 years ago
- implementation of the two-factor quintic OU model☆10Updated 9 months ago
- ☆24Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- ☆24Updated 4 years ago
- ☆13Updated last year
- ☆23Updated this week
- Empirical Finance Course (PhD, Julia code)☆37Updated last year
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 10 months ago
- qmoms package to compute option-implied moments from surface data☆25Updated last year