dppalomar / highOrderPortfoliosLinks
Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
☆25Updated 2 years ago
Alternatives and similar repositories for highOrderPortfolios
Users that are interested in highOrderPortfolios are comparing it to the libraries listed below
Sorting:
- Large Deviations for volatility options☆13Updated 6 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- ☆67Updated 3 months ago
- ☆20Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆14Updated 5 years ago
- ☆23Updated 3 years ago
- ☆28Updated 4 months ago
- Tool to support backtests☆46Updated this week
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 10 months ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆12Updated 7 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Modeling of intraday volatility and volume in financial markets☆15Updated 2 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 6 months ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆15Updated 10 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- Portfolio optimization with cvxopt☆40Updated 8 months ago