cmimlg / YieldCurveModelingLinks
Yield Curve Modeling Using Dynamic Gaussian Processes
☆17Updated 3 years ago
Alternatives and similar repositories for YieldCurveModeling
Users that are interested in YieldCurveModeling are comparing it to the libraries listed below
Sorting:
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- NYU Tandon lecture slides☆32Updated 5 months ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 6 years ago
- ☆41Updated 6 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆23Updated 8 years ago
- A repository for portfolio allocation based on embedding data representation☆12Updated 10 months ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- ☆24Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- ☆28Updated 4 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆51Updated 7 years ago
- ☆22Updated 3 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆24Updated 4 years ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago