bottama / stochastic-asset-pricing-in-continuous-timeLinks
Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method
☆37Updated 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
Sorting:
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 10 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- ☆21Updated last week
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆20Updated 10 months ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- Quant finance scripts☆16Updated 3 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆17Updated 2 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆35Updated last year
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Markov decision processes under model uncertainty☆16Updated 3 years ago
- Volatility Decomposition of Asset Price Time Series☆11Updated 6 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆35Updated last year
- Predicting index movements with Google Trends search volume alternative data☆16Updated 4 years 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 4 years ago
- ☆14Updated 6 years ago
- ☆26Updated 10 months ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆36Updated 5 years ago