lia-statsletters / notebooks
Some jupyter notebooks on various topics
☆13Updated 5 years ago
Alternatives and similar repositories for notebooks:
Users that are interested in notebooks are comparing it to the libraries listed below
- Machine Learning for Financial Market Prediction☆58Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Python Copula Module☆42Updated 2 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆37Updated 7 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 4 months ago
- Stochastic volatility models☆18Updated 6 years ago
- ☆27Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Updated 2 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Large Deviations for volatility options☆12Updated 6 years ago
- L1 Trend Filtering☆19Updated 11 months ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- Hedging portfolios with reinforcement learning.☆34Updated 7 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- finance☆43Updated 7 years ago
- Providing financial analysis tools to the Python open-source community.☆65Updated 11 years ago
- Regime-Switching Model☆17Updated 7 years ago
- Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.☆21Updated 11 years ago
- Presentation for QuantCon 2016☆11Updated 8 years ago
- Files for Python Talk☆24Updated 8 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- ☆10Updated 7 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 6 months ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 8 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago