SimonOuellette35 / SVmodels
Stochastic volatility models
☆18Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for SVmodels
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 6 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 3 weeks ago
- Demo for the application of RL to non-stationary effects☆44Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- This collects the scripts and notebooks required to reproduce my published work.☆43Updated last week
- 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…☆60Updated 3 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- ☆26Updated 5 years ago
- Tutorials about Machine Learning and Deep Learning☆29Updated 6 years ago
- alpha-RNN☆27Updated 4 years ago
- Repository for teachings on Quant Finance☆48Updated 4 years ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆14Updated 2 years ago
- Examples of causality maps for time series driven by GitHub actions☆15Updated last year
- Value and Momentum Using Machine Learning☆11Updated 3 years ago
- ☆25Updated 2 months ago
- Tools for investing in Python☆42Updated 2 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated last year
- Random Forest-based "Correlation" measures☆15Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Development space for PhD in Finance☆33Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Hierarchical Risk Parity☆27Updated 4 years ago
- ☆48Updated last year
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- ☆14Updated 5 years ago
- Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]☆15Updated 6 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- This repo is for my articles published on Medium.com☆15Updated last year