amoreira2 / LecturesLinks
☆13Updated last year
Alternatives and similar repositories for Lectures
Users that are interested in Lectures are comparing it to the libraries listed below
Sorting:
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 9 months ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆20Updated 9 months ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆13Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated this week
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆159Updated 2 years ago
- Macrosynergy Quant Research☆164Updated this week
- This repository hosts my reading notes for academic papers.☆93Updated 4 years ago
- Python Code for Quantitative Finance Papers☆45Updated last year
- QuantMinds Rough Volatility Workshop lectures☆60Updated 3 months ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆348Updated 9 months ago
- Deep Learning Statistical Arbitrage☆252Updated 3 years ago
- Implementation of 5-factor Fama French Model☆137Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆143Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆121Updated 11 months ago
- volatility arbitrage in Heston model☆67Updated 8 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- A Python implementation of the rough Bergomi model.☆136Updated 7 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆28Updated 3 years ago
- ☆85Updated last year
- Calculate U.S. equity (portfolio) characteristics☆105Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 2 months ago
- Instrumented Principal Components Analysis☆245Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆41Updated 2 weeks ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆206Updated last year
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆60Updated 7 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆244Updated 10 months ago