blaahhrrgg / equity-risk-model
Attribution and optimisation using a multi-factor equity risk model.
☆31Updated last year
Alternatives and similar repositories for equity-risk-model:
Users that are interested in equity-risk-model are comparing it to the libraries listed below
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆39Updated 7 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- ☆38Updated 2 years ago
- ☆22Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆68Updated 3 months ago
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- ☆50Updated 7 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
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- ☆18Updated 8 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 2 months ago
- Dispersion Trading using Options☆32Updated 8 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated last month
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆67Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆118Updated last year
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆25Updated 3 weeks ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago