Materials for a short course on convex optimization.
☆362Sep 13, 2025Updated 7 months ago
Alternatives and similar repositories for cvx_short_course
Users that are interested in cvx_short_course are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆71Jun 13, 2025Updated 10 months ago
- ☆16Dec 11, 2020Updated 5 years ago
- Portfolio optimization and back-testing.☆1,196Apr 27, 2026Updated last week
- A Python-embedded modeling language for convex optimization problems.☆6,200Updated this week
- Tool to support backtests☆52Updated this week
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22May 8, 2024Updated 2 years ago
- A simple and general framework for signal decomposition☆73Jan 16, 2025Updated last year
- Code for "Automatic repair of convex optimization problems".☆14Feb 4, 2020Updated 6 years ago
- ☆26Apr 28, 2026Updated last week
- A lean package to estimate financial asset betas☆13Feb 12, 2023Updated 3 years ago
- CVXOPT -- Python Software for Convex Optimization☆1,033Mar 2, 2026Updated 2 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated last month
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- ☆78May 26, 2022Updated 3 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14May 13, 2024Updated last year
- Power Network Optimization and Simulation.☆52Jun 30, 2023Updated 2 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Convex Optimization code collection of solved problems and algorithms☆31Dec 29, 2015Updated 10 years ago
- Supplementary code for the paper "Meta-Solver for Neural Ordinary Differential Equations" https://arxiv.org/abs/2103.08561☆25Mar 30, 2021Updated 5 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 3 years ago
- Differentiable convex optimization layers☆2,091Apr 21, 2026Updated 2 weeks ago
- ☆35Jun 13, 2025Updated 10 months ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- NYU Math-GA 2048: Scientific Computing in Finance☆114Mar 25, 2020Updated 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…☆17Jul 3, 2021Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆17Feb 1, 2020Updated 6 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Aug 1, 2023Updated 2 years ago
- High performance hybrid Monte Carlo simulation☆10Apr 27, 2026Updated last week
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆38Mar 25, 2019Updated 7 years ago
- Underlying package for the 10-line cta☆15Apr 28, 2026Updated last week
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- This is an article about using variational autoencoders for the generation of new data. It contains the code for generating the plots and…☆12Feb 15, 2021Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- A lightweight conic solver for second-order cone programming.☆544Jun 10, 2024Updated last year
- Empirical Finance Course (PhD, Julia code)☆39Nov 24, 2024Updated last year
- Implements the alternating direction method of multipliers and it's faster variants in python to optimize a quadratic program☆15May 11, 2021Updated 4 years ago
- ☆30Updated this week
- ☆25Dec 2, 2021Updated 4 years ago