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:
- An xVA quantitative library written in python using tensorflow☆17Updated last month
- A library for portfolio optimization algorithms with python interface.☆31Updated 5 years ago
- ☆24Updated 5 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 9 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 7 years ago
- ☆25Updated 7 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 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
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 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
- ☆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…☆69Updated 7 years ago
- A simply framework of researching stock data through LSTM by Tensorflow☆18Updated 6 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- ☆24Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Regime-Switching Model☆20Updated 8 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Python app for black-litterman portfolio optimisation☆10Updated 3 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆14Updated 3 years ago
- Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.☆11Updated 3 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago
- Trend Prediction for High Frequency Trading☆42Updated 3 years ago
- Introductory tutorial for Zipline demonstrating data collection, interactive research, and backtesting of a momentum strategy for equitie…☆12Updated last year