bottama / stochastic-asset-pricing-in-continuous-time
Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method
☆35Updated 4 years ago
Alternatives and similar repositories for stochastic-asset-pricing-in-continuous-time:
Users that are interested in stochastic-asset-pricing-in-continuous-time are comparing it to the libraries listed below
- By means of stochastic volatility models☆43Updated 5 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆18Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- detecting regime of financial market☆36Updated 2 years ago
- ☆13Updated 6 years ago
- Underlying package for the 10-line cta☆12Updated this week
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆12Updated last year
- ☆26Updated 7 months ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆24Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- ☆25Updated last month
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- my talk for credit suisse☆38Updated this week
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Portfolio optimization package in Python.☆16Updated 5 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 3 years ago
- A portfolio optimization framework leveraging Deep Reinforcement Learning (DRL)☆25Updated 4 years ago
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆27Updated last year
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆18Updated 5 years ago
- finance☆43Updated 7 years ago