dpopadic / arpmResLinks
Advanced Risk and Portfolio Management Resources
☆31Updated 6 years ago
Alternatives and similar repositories for arpmRes
Users that are interested in arpmRes are comparing it to the libraries listed below
Sorting:
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- ☆50Updated 5 years ago
- ☆18Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆120Updated 2 weeks ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆95Updated 7 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 6 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- SOFR curve bootstrapping☆27Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- ☆49Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year