jirotubuyaki / JdmbsLinks
An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
☆27Updated 5 years ago
Alternatives and similar repositories for Jdmbs
Users that are interested in Jdmbs are comparing it to the libraries listed below
Sorting:
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated last week
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- R package for inference on the Sharpe ratio.☆20Updated 6 months ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- finance☆43Updated 7 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- Updated repository containing datafeed and strategy☆12Updated 10 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 9 years ago
- R package for high frequency time series data management☆62Updated last month
- trend / momentum and other patterns in financial timeseries☆12Updated 5 years ago
- MSGARCH R Package☆80Updated 2 years ago
- ☆13Updated 2 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17Updated 3 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Design of Risk Parity Portfolios☆114Updated 2 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆14Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- ☆20Updated 11 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆8Updated 2 years ago
- Python Monte Carlo Simulation to model returns from randomly generated portfolios against a benchmark index.☆23Updated 10 years ago
- ☆10Updated 10 years ago
- ☆22Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆17Updated 2 years ago
- Easily source publicly available data on derivatives☆37Updated 3 years ago