chicago-joe / Option-Pricing-via-Levy-Models-in-RLinks
using the Inverse-Transform method to speed up options pricing simulations in R
☆28Updated this week
Alternatives and similar repositories for Option-Pricing-via-Levy-Models-in-R
Users that are interested in Option-Pricing-via-Levy-Models-in-R are comparing it to the libraries listed below
Sorting:
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Updated 6 years ago
- R package AssetAllocation☆34Updated last year
- R package for high frequency time series data management☆62Updated last month
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- NYU Tandon lecture slides☆31Updated 3 weeks ago
- R presentation files (knitr, shiny, etc.)☆12Updated 2 months ago
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆28Updated 3 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Simple Risk Premia Strategy☆36Updated 4 years ago
- trend / momentum and other patterns in financial timeseries☆12Updated 5 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆63Updated 3 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 7 months ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17Updated 3 years ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆119Updated 7 months ago
- R package for inference on the Sharpe ratio.☆20Updated 6 months ago
- Design of Risk Parity Portfolios☆114Updated 2 years ago
- Fixed income tools for R☆60Updated 2 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 8 months ago
- quant_rv is a quantitative ETF trading strategy based on realized volatility, written in R☆24Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆22Updated last month
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆50Updated 6 years ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 8 years ago
- Tutor step-by-step on how to analyze stock data using the R language.☆17Updated last year
- ☆13Updated 2 years ago