daniel-m-campos / convex-optimizationLinks
Homework to Stephen Boyd's Convex Optimization class (CVX101 Stanford) with python and cvxpy
☆12Updated 5 years ago
Alternatives and similar repositories for convex-optimization
Users that are interested in convex-optimization are comparing it to the libraries listed below
Sorting:
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- KPC-Toolbox: MATLAB toolbox to fit Markovian Arrival Processes☆10Updated 7 months ago
- Selected Online Courses☆14Updated 6 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- For UCLA BIOSTAT M215 (Survival Analysis) Homework☆10Updated 6 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆14Updated 4 years ago
- Option Pricing with Machine Learning Methods☆15Updated last year
- Course materials for Introduction to Time Series, Fall 2023☆12Updated last year
- ☆14Updated 4 years ago
- A Quantitative Finance Engineering Project☆15Updated 2 years ago
- Syllabus and exercises for "Data Science for Finance," a course taught in the Masters of Financial Engineering program at UC Berkeley's H…☆24Updated 8 years ago
- End-to-end distributionally robust optimization☆37Updated 2 years ago
- Approximate Dynamic Programming for Portfolio Selection Problem☆56Updated 3 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆19Updated 5 years ago
- Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916☆13Updated 6 years ago
- A small package for solving finite-horizon, finite-state stochastic dynamic programs.☆16Updated 5 years ago
- The 3rd edition of Simulation Modeling and Arena by Dr. Manuel Rossetti☆11Updated last year
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆17Updated last year
- simulation of Heston model by Monte-Carlo method☆12Updated last year
- A Program to calculate the price of American put or call option with Least Square Monte Carlo☆15Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Updated last year
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 4 years ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago
- A collection of tutorials for the MOSEK package☆127Updated 3 weeks ago
- ☆14Updated 4 years ago
- A pricing program for a whole-life insurance with annuity☆11Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 6 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- Materials for "RL for Inventory Optimization", Day 4 of the "RL for Operations Bootcamp", Kellogg School of Management, Northwestern Univ…☆18Updated last year