cmf-team / importance-sampling-2022
Creating, training and backtesting of VaR and ES models based on Importance Sampling
☆11Updated 2 years ago
Alternatives and similar repositories for importance-sampling-2022:
Users that are interested in importance-sampling-2022 are comparing it to the libraries listed below
- Repo for Crypto Option Calibration project in CMF☆14Updated 2 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- QuantMinds Rough Volatility Workshop lectures☆35Updated 6 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆12Updated 6 months ago
- Multivariate GARCH modelling in Python☆16Updated 6 months ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- ☆19Updated 6 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…☆12Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆43Updated 5 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated 2 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 6 months ago
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 6 months ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago