gusamarante / pyacmLinks
Implementation of "Pricing the Term Structure with Linear Regressions" from Adrian, Crump and Moench (2013)
☆17Updated 4 months ago
Alternatives and similar repositories for pyacm
Users that are interested in pyacm are comparing it to the libraries listed below
Sorting:
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- ☆27Updated 2 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated last year
- qmoms package to compute option-implied moments from surface data☆21Updated last year
- code for turning data sets into trading strategies☆36Updated last week
- Code that I show on my YouTube Channel☆101Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆47Updated last year
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- ☆23Updated 3 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆45Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Python library for asset pricing☆117Updated last year
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆40Updated 5 years ago
- Portfolio Construction and Risk Management book's Python code.☆119Updated last month
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆23Updated 2 months ago
- Jupyter notebooks que acompanham o livro "Modelos de Volatilidade para Derivativos"☆57Updated 2 years ago
- Quant Research☆86Updated 3 weeks ago
- Financial Markets Microstructure course (UCPH, Masters in Econ)☆22Updated last week
- NYU Tandon lecture slides☆32Updated 2 months ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆81Updated last month
- Python Code for Quantitative Finance Papers☆40Updated 11 months ago
- 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
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- ☆50Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- My replication of financial papers.☆19Updated 7 years ago