cchuang2009 / PySDELinks
☆16Updated 7 years ago
Alternatives and similar repositories for PySDE
Users that are interested in PySDE are comparing it to the libraries listed below
Sorting:
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated 2 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 4 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Python implementation of fractional brownian motion☆61Updated 4 years ago
- ☆10Updated 7 years ago
- Tool to support backtests☆44Updated this week
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated 2 years ago
- Repository for the paper "BONE: a unifying framework for Bayesian online learning in non-stationary environments"☆17Updated 2 weeks ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated 2 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…☆11Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆74Updated 7 years ago
- Examples and demos showing how to call functions from the nAG Library for Python☆66Updated 6 months ago
- esig python package☆48Updated 5 months ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Updated 2 years ago
- Compile risk with cvxpy☆13Updated last week
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆38Updated last month
- Convex optimization over risk-neutral probabilities.☆15Updated 5 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated last year
- Modeling of intraday volatility and volume in financial markets☆15Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆28Updated this week
- Monte Carlo Submission Examples☆16Updated 8 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆26Updated last year
- ☆65Updated 2 weeks ago