chicago-joe / Option-Pricing-via-Levy-Models-in-R
using the Inverse-Transform method to speed up options pricing simulations in R
☆27Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for Option-Pricing-via-Levy-Models-in-R
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆25Updated 8 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
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆26Updated 2 years ago
- R package AssetAllocation☆34Updated 11 months ago
- Covariance Matrix Estimation via Factor Models☆31Updated 5 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆47Updated 6 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆17Updated 5 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆14Updated 4 years ago
- Daily kata from Quantitative Investment Portfolio Analytics In R☆13Updated 5 years ago
- A shiny application to explore the basics of option evaluation☆15Updated 7 years ago
- NYU Tandon lecture slides☆30Updated this week
- ☆28Updated 3 years ago
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- Source Code for 'Implementing Machine Learning for Finance' by Tshepo Chris Nokeri☆33Updated 3 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated 3 months ago
- Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.☆10Updated 2 years ago
- Fixed income tools for R☆51Updated 9 months ago
- R package for high frequency time series data management☆61Updated 2 weeks ago
- R presentation files (knitr, shiny, etc.)☆12Updated 2 weeks ago
- Repository for teachings on Quant Finance☆48Updated 4 years ago
- ☆50Updated 9 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated 9 months ago
- ☆41Updated 2 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- MSGARCH R Package☆81Updated last year
- ☆79Updated this week