mfrdixon / G-Learning-Wealth-ManagementLinks
☆24Updated 4 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:
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆15Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- A repository for portfolio allocation based on embedding data representation☆12Updated 10 months ago
- ☆68Updated 5 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Replication of https://ssrn.com/abstract=3984925☆51Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆16Updated 3 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 3 months ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- ☆31Updated 5 months ago
- Multivariate GARCH modelling in Python☆16Updated last year
- ☆50Updated 5 years ago
- 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'.☆38Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- ☆12Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- My replication of financial papers.☆20Updated 7 years ago
- ☆20Updated 10 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago