RudyMorel / shadowing
Implements Path Shadowing Monte Carlo (PSMC).
☆69Updated last month
Alternatives and similar repositories for shadowing:
Users that are interested in shadowing are comparing it to the libraries listed below
- Statistical Jump Models in Python, with scikit-learn-style APIs☆57Updated last month
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆53Updated this week
- ☆63Updated last week
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆103Updated 11 months ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆36Updated 10 months ago
- Python library for asset pricing☆111Updated 11 months ago
- Multivariate GARCH modelling in Python☆16Updated 3 months ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- Macrosynergy Quant Research☆115Updated this week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆152Updated last month
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆54Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆141Updated 8 months ago
- ☆20Updated 2 weeks ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Financial AI with Python☆61Updated last month
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆95Updated 3 weeks ago
- ☆35Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- ☆45Updated 4 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 4 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- A Python implementation of the rough Bergomi model.☆116Updated 6 years ago