jasonstrimpel / covshrink
Python implementation of a sample covariance matrix shrinkage experiment
☆31Updated 11 years ago
Alternatives and similar repositories for covshrink:
Users that are interested in covshrink are comparing it to the libraries listed below
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 9 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆37Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆46Updated 4 years ago
- ☆49Updated 4 years ago
- ☆38Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- ☆35Updated 7 years ago
- ☆18Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- ☆19Updated 4 years ago
- ☆26Updated last week
- ☆17Updated 7 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago