exleym / simpaqLinks
various valuation tools for financial derivatives
☆10Updated 8 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☆18Updated 3 weeks ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- A library for portfolio optimization algorithms with python interface.☆30Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- ☆22Updated 5 years ago
- Python tools to quantitatively manage financial risk☆68Updated 5 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆12Updated 4 years ago
- finance☆43Updated 7 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…☆67Updated 6 years ago
- a Python tool for downloading sharadar data from Quandl.☆10Updated 2 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
- ☆24Updated 6 years ago
- ☆18Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- ☆16Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- ☆18Updated 8 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆23Updated 4 years ago
- Python app for black-litterman portfolio optimisation☆10Updated 2 years ago