fortitudo-tech / pcrm-book
Portfolio Construction and Risk Management book's Python code.
☆90Updated last week
Alternatives and similar repositories for pcrm-book:
Users that are interested in pcrm-book are comparing it to the libraries listed below
- Macrosynergy Quant Research☆125Updated last week
- Quant Research☆72Updated last month
- Algo Trading Research & Documentation☆18Updated 10 months ago
- Python library for asset pricing☆115Updated last year
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆257Updated this week
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- ☆45Updated last year
- ☆81Updated 5 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆157Updated 2 weeks ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆76Updated 2 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆79Updated 8 months ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆68Updated 3 years ago
- Codes for the concepts related to quantitative finance☆51Updated last week
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆98Updated 3 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆75Updated 3 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆117Updated last month
- Statistical Jump Models in Python, with scikit-learn-style APIs☆66Updated 3 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆69Updated last month
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆216Updated 2 months ago
- Code that I show on my YouTube Channel☆98Updated 2 years ago
- Python Code for Quantitative Finance Papers☆39Updated 6 months ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆38Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- ☆71Updated 3 weeks ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- volatility arbitrage in Heston model☆48Updated 3 weeks ago
- ☆137Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago