ibaris / VaRLinks
Value at Risk and Backtest Routines
☆30Updated 3 months ago
Alternatives and similar repositories for VaR
Users that are interested in VaR are comparing it to the libraries listed below
Sorting:
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year
- ☆79Updated 4 years ago
- ☆68Updated 5 months ago
- Notebooks based on financial machine learning.☆54Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆128Updated 9 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- Research Repo (Archive)☆74Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- detecting regime of financial market☆41Updated 3 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆134Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆194Updated 3 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated last month
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆176Updated 3 months ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆41Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 10 months ago
- ☆47Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago