hamouda-bagh / Quant-Fin-BasicsLinks
My personal work on the numerical projects of a book called "A First Course in Stochastic Calculus".
☆14Updated 3 years ago
Alternatives and similar repositories for Quant-Fin-Basics
Users that are interested in Quant-Fin-Basics are comparing it to the libraries listed below
Sorting:
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆14Updated 4 years ago
- Code for Machine Learning for Algorithmic Trading, 2nd edition.☆19Updated 3 years ago
- Volatility Decomposition of Asset Price Time Series☆11Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method☆41Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Reinforcement Learning in Finance☆15Updated 5 years ago
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- ☆12Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Stochastic models to price financial options☆24Updated 4 years ago
- This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…☆10Updated 4 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Algorithmic multi-greek hedges using Python☆21Updated 4 years ago
- Quant finance scripts☆16Updated 6 months ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- ☆18Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆21Updated 3 years ago
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- ☆14Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆28Updated last year