algoquant / lecture_slides
NYU Tandon lecture slides
☆31Updated 3 months ago
Alternatives and similar repositories for lecture_slides:
Users that are interested in lecture_slides are comparing it to the libraries listed below
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆28Updated 10 months ago
- Development space for PhD in Finance☆33Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- ☆17Updated 6 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆48Updated 4 years ago
- ☆28Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- Elements of Financial Risk Management in Python☆11Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆17Updated 5 years ago
- Affine Term-Structure Models: Theory and Implementation☆12Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆17Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Python Code for Quantitative Finance Papers☆39Updated 4 months ago
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆16Updated 6 months ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- ☆16Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago