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:
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆12Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆18Updated 4 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- ☆24Updated 5 years ago
- Regime-Switching Model☆19Updated 8 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- A library for portfolio optimization algorithms with python interface.☆31Updated 4 years ago
- ML pipeline for SmartBeta momentum factor on equity portfolio☆11Updated 9 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- ☆16Updated 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…☆68Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆70Updated 6 months ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆46Updated 4 years ago
- ☆25Updated 7 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆70Updated 2 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.☆11Updated 3 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago