gusamarante / pyacmLinks
Implementation of "Pricing the Term Structure with Linear Regressions" from Adrian, Crump and Moench (2013)
☆19Updated 2 weeks ago
Alternatives and similar repositories for pyacm
Users that are interested in pyacm are comparing it to the libraries listed below
Sorting:
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Portfolio Construction and Risk Management book's Python code.☆132Updated 2 weeks ago
- ☆28Updated 4 months ago
- code for turning data sets into trading strategies☆37Updated last week
- Python library for asset pricing☆117Updated last year
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆23Updated last year
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆22Updated last year
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 4 months ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆49Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆50Updated last year
- Option Volatility and Pricing Models.☆12Updated 8 months ago
- Teaching Resources for Cuemacro courses☆55Updated 6 months ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 6 years ago
- Investment Funnel 📈 is an open-source python platform designed for an easy development and backtesting of outperforming investment strat…☆69Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆89Updated last month
- Jupyter notebooks que acompanham o livro "Modelos de Volatilidade para Derivativos"☆57Updated 2 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- Resources for the AI in Finance Workshop at Texas State University (October 2023).☆53Updated 2 years ago
- This collects the scripts and notebooks required to reproduce my published work.☆48Updated last week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Macrosynergy Quant Research☆159Updated 2 weeks ago
- Quant Research☆90Updated this week
- Fourier-Bayesian estimation of stochastic volatility models☆17Updated 4 years ago