chicago-joe / Option-Pricing-via-Levy-Models-in-RLinks
using the Inverse-Transform method to speed up options pricing simulations in R
☆28Updated last month
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☆53Updated 4 years ago
- R package AssetAllocation☆34Updated last year
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- R package for high frequency time series data management☆64Updated 3 months ago
- R presentation files (knitr, shiny, etc.)☆12Updated 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
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆119Updated 8 months ago
- NYU Tandon lecture slides☆32Updated 2 months ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆23Updated 2 months ago
- Fixed income tools for R☆61Updated 3 months ago
- ☆94Updated 3 months ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Updated 6 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆65Updated 3 years ago
- Design of Risk Parity Portfolios☆115Updated 2 years ago
- ☆45Updated 11 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated last year
- Tutor step-by-step on how to analyze stock data using the R language.☆17Updated last year
- ☆76Updated 8 months ago
- quant_rv is a quantitative ETF trading strategy based on realized volatility, written in R☆24Updated last year
- ☆46Updated 9 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated last year
- MSGARCH R Package☆80Updated 2 years ago
- Simple Risk Premia Strategy☆37Updated 4 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 10 months ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 8 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 8 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆62Updated 3 weeks ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆50Updated 7 years ago
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆31Updated last year