Yizhan-Oliver-Shu / jump-models
Statistical Jump Models in Python, with scikit-learn-style APIs
☆63Updated 2 months ago
Alternatives and similar repositories for jump-models:
Users that are interested in jump-models are comparing it to the libraries listed below
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆60Updated last week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated 2 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Portfolio optimization with cvxopt☆36Updated last month
- Multivariate GARCH modelling in Python☆16Updated 4 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- Replication of https://ssrn.com/abstract=3984925☆30Updated 11 months ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆69Updated 3 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆54Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆96Updated 2 months ago
- detecting regime of financial market☆35Updated 2 years ago
- ☆36Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- ☆70Updated 4 years ago
- Python Code for Quantitative Finance Papers☆39Updated 5 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆73Updated 3 years ago
- Portfolio Construction and Risk Management book's Python code.☆83Updated last month
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆117Updated 4 years ago
- 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
- ☆17Updated 8 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆38Updated 5 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago