Alternatives and similar repositories for EstimationOfCovarianceMatrix

Users that are interested in EstimationOfCovarianceMatrix are comparing it to the libraries listed below

• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• Liuyi-Hu / regime_switch_model
  Regime-Switching Model
  ☆18Updated 7 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆57Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆22Updated 5 years ago
• cvxgrp / cov_pred_finance
  ☆68Updated 2 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆15Updated 11 months ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆11Updated 7 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆31Updated 9 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated last year
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• hellojinwoo / CA_GMVP
  Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'
  ☆22Updated 3 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 3 years ago
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 years ago
• Bradleydi / Risk-Models
  Risk estimation algorithms
  ☆30Updated 7 years ago
• TYtianyang / scbnn
  Implied volatility surface interpolation with shape-constrained bayesian neural network.
  ☆15Updated 3 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated last month
• QuantLet / MLvsGARCH
  ☆20Updated 7 months ago
• thertrader / Using-random-forest-to-model-limit-order-book-dynamic
  I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead
  ☆30Updated 5 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆16Updated 5 years ago