Alternatives and similar repositories for LedoitWolf:

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

• thedatabeat / SVI
  ☆48Updated 7 years ago
• arraystream / fftoptionlib
  FFT-based Option Pricing Methods in Python
  ☆59Updated 6 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆75Updated 6 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆26Updated 7 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆58Updated 9 months ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆83Updated 5 years ago
• wilsonfreitas / AFML
  Code implementations of my studies on the book Advances in Financial Machine Learning
  ☆12Updated 4 years ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆31Updated 11 months ago
• kangzhan / SVI-Surface
  Arbitrage free SVI Surface
  ☆13Updated 6 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆78Updated last year
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆114Updated 6 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆36Updated 4 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆44Updated 5 years ago
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 6 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• chrischia06 / AlgoTradingSimulatedPaths
  Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB
  ☆35Updated 3 years ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆38Updated 4 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• sle14 / Vol-surface-parametrisation
  Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations
  ☆29Updated 4 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆115Updated last year
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆42Updated 4 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆74Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• firmai / research
  Notebooks based on financial machine learning.
  ☆45Updated 4 years ago
• wangys96 / SVI-Volatility-Surface-Calibration
  SVI volatility surface model and an example of China 50ETF option
  ☆62Updated 4 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆21Updated 2 years ago
• cvxgrp / vwap_opt_exec
  Volume Weighted Average Price Optimal Execution
  ☆41Updated 5 years ago
• yinsenm / gerber
  Gerber robust statistics for portfolio optimization
  ☆55Updated 2 years ago
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆46Updated 4 years ago