mfrdixon / G-Learning-Wealth-ManagementLinks
☆23Updated 3 years ago
Alternatives and similar repositories for G-Learning-Wealth-Management
Users that are interested in G-Learning-Wealth-Management are comparing it to the libraries listed below
Sorting:
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆28Updated 3 months ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆15Updated 3 years ago
- ☆67Updated 3 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- ☆50Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆47Updated last year
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 months ago
- Code that I show on my YouTube Channel☆102Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- ☆20Updated 8 months ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- ☆11Updated last year