RefaelLasry / EstimationOfCovarianceMatrix
Estimation of the Covariance Matrix - linear and nonlinear shrinkage
☆20Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for EstimationOfCovarianceMatrix
- Non-Linear Covariance Shrinkage☆14Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- ☆18Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 7 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Multivariate GARCH modelling in Python☆15Updated 2 weeks ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆22Updated last year
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 7 months ago
- Regime-Switching Model☆17Updated 7 years ago
- ☆17Updated 3 years ago
- ☆11Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- ☆59Updated last week
- Statistical Jump Models in Python, with scikit-learn-style APIs☆37Updated last month
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆58Updated last year
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago