Alternatives and similar repositories for jump-models:

Users that are interested in jump-models are comparing it to the libraries listed below

• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 11 months ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆31Updated last year
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 4 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆60Updated last week
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆154Updated 2 months ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆36Updated last month
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 4 months ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆116Updated last year
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆30Updated 11 months ago
• wangys96 / SVI-Volatility-Surface-Calibration
  SVI volatility surface model and an example of China 50ETF option
  ☆63Updated 4 years ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆69Updated 3 months ago
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆54Updated last year
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆96Updated 2 months ago
• QuhiQuhihi / regime_model
  detecting regime of financial market
  ☆35Updated 2 years ago
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆36Updated 2 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆85Updated 6 years ago
• shilewenuw / deep-learning-portfolio-optimization
  ☆70Updated 4 years ago
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆39Updated 5 months ago
• Robin-Guilliou / Option-Pricing
  Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…
  ☆73Updated 3 years ago
• fortitudo-tech / pcrm-book
  Portfolio Construction and Risk Management book's Python code.
  ☆83Updated last month
• maxlamberti / time-series-momentum
  🚂💨 Deep Momentum Networks for Time Series Strategies
  ☆117Updated 4 years ago
• sigurdroemer / rough_volatility
  The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…
  ☆52Updated 2 years ago
• anthonyng2 / Time-Series-Momentum
  ☆17Updated 8 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆29Updated last year
• kieranjwood / x-trend
  X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
  ☆75Updated last year
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆38Updated 5 months ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆79Updated 2 years ago