SaremS / sample_notebooksLinks
Loose collection of Jupyter notebooks, mostly for my blog
☆28Updated 6 months ago
Alternatives and similar repositories for sample_notebooks
Users that are interested in sample_notebooks are comparing it to the libraries listed below
Sorting:
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆26Updated 9 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆19Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Quant finance scripts☆16Updated last month
- ☆23Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 8 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- Modeling of intraday volatility and volume in financial markets☆15Updated 2 years ago
- ☆19Updated 6 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated last year
- ☆23Updated 3 years ago
- ☆65Updated 2 weeks ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆63Updated 2 months ago