gmanzog / DeepLearningCreditRiskModelingLinks
Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
☆21Updated 3 years ago
Alternatives and similar repositories for DeepLearningCreditRiskModeling
Users that are interested in DeepLearningCreditRiskModeling are comparing it to the libraries listed below
Sorting:
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- ☆68Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆52Updated 2 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- ☆73Updated 3 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- implementation of the two-factor quintic OU model☆10Updated 5 months ago
- Portfolio optimization with cvxopt☆41Updated 7 months ago
- ☆19Updated 7 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 6 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆57Updated 3 years ago
- Large Deviations for volatility options☆13Updated 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
- ☆18Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 4 months ago
- ☆16Updated 5 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆80Updated 8 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 9 months ago
- Code that I show on my YouTube Channel☆101Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 10 months ago
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆94Updated 11 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Quant Research☆86Updated 2 weeks ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago