akononovicius / arfima
Python implementation of ARFIMA process with an aim to simulate series.
☆20Updated 4 years ago
Alternatives and similar repositories for arfima
Users that are interested in arfima are comparing it to the libraries listed below
Sorting:
- ☆64Updated 2 weeks ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- ☆19Updated 6 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆14Updated 5 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- ☆20Updated 3 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 7 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- Python implementation of fractional brownian motion☆61Updated 4 years ago
- ☆15Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆31Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Hawkes with Latency☆20Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Quant finance scripts☆16Updated last month