Alternatives and similar repositories for arfima

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

• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆15Updated 4 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆17Updated last year
• cvxgrp / cov_pred_finance
  ☆71Updated 7 months ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆16Updated 5 years ago
• amuguruza / RoughFCLT
  ☆22Updated 7 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆57Updated 3 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆62Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 3 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆33Updated 5 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆18Updated 5 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• jgatheral / RationalRoughHeston
  ☆14Updated last year
• Marblez / HMM_Trading
  Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…
  ☆39Updated 5 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆38Updated 2 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• mdsunivie / HARNet
  TensorFlow implementation of the HARNet model for realized volatility forecasting.
  ☆28Updated 2 years ago
• chrischia06 / neural-network-derivative-pricing
  Survey of neural network methods for derivatives pricing and risks
  ☆14Updated 3 years ago
• QuantLet / MLvsGARCH
  ☆20Updated last year
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆73Updated last year
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆12Updated 3 years ago
• imanolperez / market_simulator
  Market simulator
  ☆61Updated 5 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆13Updated 8 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• xymmmm00 / diffusion_factor_model
  This repository implements a Diffusion Factor Model for financial data.
  ☆39Updated 3 months ago
• kaiboy05 / fbm
  Fractional Brownian Motion package
  ☆11Updated 3 years ago
• oskarimikkila / Empirical-Deep-Hedging
  ☆17Updated 3 years ago
• cvxgrp / cvxstatarb
  ☆34Updated 7 months ago