Alternatives and similar repositories for cptopt

Users that are interested in cptopt are comparing it to the libraries listed below

• Iyengar-Lab / E2E-DRO
  End-to-end distributionally robust optimization
  ☆36Updated 2 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 11 months ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆16Updated last year
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 6 months ago
• cvxgrp / cvxmarkowitz
  ☆28Updated 5 months ago
• cvxgrp / cov_pred_finance
  ☆67Updated 4 months ago
• YukiYasuda2718 / rl-bsmodel-with-costs
  Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…
  ☆21Updated 5 years ago
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆36Updated 3 years ago
• oskarimikkila / Empirical-Deep-Hedging
  ☆16Updated 3 years ago
• mdsunivie / HARNet
  TensorFlow implementation of the HARNet model for realized volatility forecasting.
  ☆28Updated 2 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆13Updated 4 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆22Updated last year
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• Ralami1859 / BayesianOnlineChange-pointDetection-python-codes-
  Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.
  ☆15Updated 4 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆12Updated 4 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• alialaradi / PairsTrading
  MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…
  ☆15Updated 7 years ago
• mfrdixon / GP-CVA
  ☆14Updated 6 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• msabvid / robust_nsde
  Robust pricing and hedging via Neural SDEs
  ☆37Updated 4 years ago
• silvialava / Deep_quadratic_hedging
  ☆12Updated 2 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• bottama / stochastic-asset-pricing-in-continuous-time
  Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method
  ☆41Updated 4 years ago