fp1acm8 / Analysis-of-Financial-Time-SeriesLinks
Semi-automatic analysis of a financial series using Python.
☆13Updated 3 years ago
Alternatives and similar repositories for Analysis-of-Financial-Time-Series
Users that are interested in Analysis-of-Financial-Time-Series are comparing it to the libraries listed below
Sorting:
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- detecting regime of financial market☆41Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆119Updated 2 weeks ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- quantitative asset allocation strategy☆33Updated 9 months ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Portfolio optimization using Genetic algorithm.☆62Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago