exleym / simpaqLinks
various valuation tools for financial derivatives
☆10Updated 9 years ago
Alternatives and similar repositories for simpaq
Users that are interested in simpaq are comparing it to the libraries listed below
Sorting:
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆69Updated 7 years ago
- A library for portfolio optimization algorithms with python interface.☆31Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last month
- ☆24Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- ☆16Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Python based Quant Finance Models, Tools and Algorithmic Decision Making☆47Updated 8 years ago
- Regime-Switching Model☆20Updated 8 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆47Updated 7 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 9 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- A walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will inc…☆28Updated 2 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆59Updated 9 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 7 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Updated 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
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Updated 8 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction☆30Updated 8 years ago