cvxgrp / cvx_opt_risk_neutralLinks
Convex optimization over risk-neutral probabilities.
☆15Updated 5 years ago
Alternatives and similar repositories for cvx_opt_risk_neutral
Users that are interested in cvx_opt_risk_neutral are comparing it to the libraries listed below
Sorting:
- Covariance prediction via convex optimization☆22Updated 4 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆13Updated last year
- ☆28Updated 4 months ago
- Talk Materials for "Convex Optimization for Finance"☆29Updated 2 years ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆28Updated 3 years ago
- ☆77Updated 3 years ago
- A CVXPY extension for saddle problems☆27Updated this week
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- ☆14Updated 6 years ago
- ☆16Updated last week
- Large Deviations for volatility options☆13Updated 6 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 3 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 4 years ago
- Code for "Automatic repair of convex optimization problems".☆14Updated 5 years ago
- time-dependent Hamilton-Jacobi PDEs (http://www.cs.columbia.edu/~cxz/TimeDepHJB/)☆15Updated 8 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- A variational method for fast, approximate inference for stochastic differential equations.☆44Updated 7 years ago
- Monte Carlo Submission Examples☆17Updated last year
- ☆67Updated 3 months ago
- A CVXPY extension for convex-concave programming☆133Updated this week
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆36Updated last year
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Updated 5 years ago
- Large scale simulation of ODEs or SDEs, analyze time series.☆25Updated 6 years ago
- A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)☆16Updated 5 years ago
- Python-based Derivative-Free Optimization with Bound Constraints☆89Updated last year
- A simple and general framework for signal decomposition☆71Updated 8 months ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 2 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago