Alternatives and similar repositories for covShrinkage

Users that are interested in covShrinkage are comparing it to the libraries listed below

• jgatheral / RationalRoughHeston
  ☆11Updated last year
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 7 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆16Updated 5 months ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• wahido / neural_locVol
  ☆15Updated 4 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• Idriss-Afra / Stochastic-Volatility-Inspired-Model
  This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
  ☆10Updated 4 months ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆50Updated 6 years ago
• GiulioRossetti94 / PyBondLab
  ☆27Updated 2 months ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆36Updated 6 years ago
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆21Updated last year
• YuSunBaruch / MTH9894_Systematic_Trading-1
  This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course
  ☆15Updated 8 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆14Updated 3 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year
• QuantMaverick / options_SABR_model
  This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…
  ☆16Updated 6 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆88Updated 5 months ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …
  ☆10Updated 3 years ago
• oge-t / subtle_smile
  Calibration and Simulation Engine for Local Volatility Models
  ☆11Updated 3 years ago
• echalkpad / MTH9894-Algo-Trading
  Baruch MFE MTH9894
  ☆13Updated 8 years ago
• tdmdal / rl-hedge-2019
  ☆50Updated 5 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆47Updated last year
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆78Updated 4 years ago