enexqnt / quantallocation
A collection of quantitative finance notebooks. Including MPT, Monte Carlo simulations and Machine Learning algorithms
☆13Updated 2 years ago
Alternatives and similar repositories for quantallocation:
Users that are interested in quantallocation are comparing it to the libraries listed below
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated last month
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Quant Research☆68Updated 2 months ago
- volatility arbitrage in Heston model☆41Updated last month
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆53Updated 2 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 5 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated 2 weeks ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆42Updated 5 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆179Updated 2 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆93Updated last week
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- ☆80Updated 2 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆51Updated 2 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Dispersion Trading using Options☆31Updated 7 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆26Updated 3 years ago
- ☆45Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆41Updated last year
- SOFR curve bootstrapping☆23Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆83Updated 5 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆24Updated 3 weeks ago