ibaris / VaR

Related projects: ⓘ

• Robin-Guilliou / Option-Pricing
  Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…
  ☆70Updated 2 years ago
• firmai / research
  Notebooks based on financial machine learning.
  ☆43Updated 4 years ago
• QuhiQuhihi / regime_model
  detecting regime of financial market
  ☆27Updated last year
• tinoproductions / DirtyQuant
  Code that I show on my YouTube Channel
  ☆90Updated last year
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆109Updated 8 months ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆130Updated last month
• Yizhan-Oliver-Shu / jump-models
  ☆21Updated 4 months ago
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆28Updated last year
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆44Updated 8 months ago
• hobinkwak / Portfolio-Optimization-Deep-Learning
  Mean-Variance Optimization using DL (pytorch)
  ☆25Updated 2 years ago
• jkirkby3 / fypy
  Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…
  ☆76Updated this week
• AI-Stuff / hudson-and-thames-research
  Research Repo (Archive)
  ☆69Updated 3 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆50Updated 5 months ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆31Updated 7 months ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆100Updated 5 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆33Updated 3 years ago
• daehkim / pair-trading
  CS7641 Team project
  ☆80Updated 4 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆35Updated 5 years ago
• emoen / Machine-Learning-for-Asset-Managers-Oslo-Bors
  ☆16Updated 3 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆86Updated this week
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆42Updated 5 years ago
• nburgessx / Papers
  My Quant Research Papers (incl. Coding & Excel Examples)
  ☆94Updated 10 months ago
• nathansimonis1612 / HAR-RV
  ☆62Updated this week
• oronimbus / tactical-asset-allocation
  Implements different approaches to tactical and strategic asset allocation
  ☆25Updated last year
• rodler / quantinsti_statarb
  ☆51Updated last year
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆34Updated 4 months ago
• nburgessx / QuantResearch
  Quant Research
  ☆59Updated this week
• Marblez / HMM_Trading
  Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…
  ☆27Updated 4 years ago
• Artificial-Intelligence-Big-Data-Lab / xai_statarb
  ☆20Updated 2 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆41Updated 4 years ago