daniel-m-campos / convex-optimizationLinks
Homework to Stephen Boyd's Convex Optimization class (CVX101 Stanford) with python and cvxpy
☆12Updated 4 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
- Approximate Dynamic Programming for Portfolio Selection Problem☆56Updated 2 years ago
- ☆10Updated 3 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆9Updated 4 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆35Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- A DQN agent that optimally hedges an options portfolio.☆24Updated 5 years ago
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…☆9Updated 3 years ago
- Option Pricing with Machine Learning Methods☆13Updated last year
- Using Geometric Brownian Motion model to model stock price dynamics - First project using Python☆8Updated 5 years ago
- Solutions for the exercise problems of Steven E. Shreve's Stochastic Calculus for Finance☆36Updated 5 years ago
- The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of d…☆10Updated 6 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆13Updated last year
- A small package for solving finite-horizon, finite-state stochastic dynamic programs.☆16Updated 5 years ago
- simulation of Heston model by Monte-Carlo method☆11Updated 10 months ago
- Course materials for Introduction to Time Series, Fall 2023☆11Updated 7 months ago
- Selected Online Courses☆12Updated 5 years ago
- Numerical solution of Hamilton Jacobi Bellman equations☆27Updated 10 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆57Updated last year
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 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…☆21Updated 8 years ago
- For UCLA BIOSTAT M215 (Survival Analysis) Homework☆10Updated 6 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆14Updated 7 years ago
- An easy to use Monte Carlo savings and retirement planner.☆11Updated 6 years ago
- An Introduction to Computational Macroeconomics (U Tokyo 2022)☆12Updated 3 years ago
- Statistical Methods in Finance☆14Updated 3 years ago
- The work aims to explore Value based, Deep Reinforcment Learning (Deep Q-Learning and Double Deep Q-Learning) for the problem of Optimal …☆54Updated 5 years ago