jirotubuyaki / JdmbsLinks
An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
☆28Updated 5 years ago
Alternatives and similar repositories for Jdmbs
Users that are interested in Jdmbs are comparing it to the libraries listed below
Sorting:
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 5 months ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- R package for high frequency time series data management☆64Updated 6 months ago
- finance☆43Updated 8 years ago
- Design of Risk Parity Portfolios☆116Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- MSGARCH R Package☆82Updated 3 years ago
- Python Code for Meucci Related Blog Posts☆15Updated 9 years ago
- ☆14Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- R package for inference on the Sharpe ratio.☆20Updated 11 months ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- ☆22Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆23Updated 8 years ago
- Python Monte Carlo Simulation to model returns from randomly generated portfolios against a benchmark index.☆23Updated 10 years ago
- Finance 6470: Derivatives Markets☆10Updated 4 years ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆27Updated 9 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆22Updated 6 years ago
- A framework for detecting misreported returns in hedge funds.☆16Updated 6 years ago
- Probability of Backtest Overfitting☆48Updated 3 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆18Updated 3 years ago
- NYU Tandon lecture slides☆32Updated 5 months ago
- Updated repository containing datafeed and strategy☆12Updated 10 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated last week