fintechsteve / modeling-volatilityLinks
Modeling volatility project for ODSC East 2019
☆16Updated 2 years ago
Alternatives and similar repositories for modeling-volatility
Users that are interested in modeling-volatility are comparing it to the libraries listed below
Sorting:
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- ☆44Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆91Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆30Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 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 model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆44Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 9 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆48Updated 4 years ago
- ☆18Updated 7 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- ☆25Updated 7 years ago
- ☆65Updated 2 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago