Alternatives and similar repositories for covShrinkage:

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

• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆16Updated 9 months ago
• wahido / neural_locVol
  ☆14Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆12Updated 8 months ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 5 years ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆12Updated 7 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆24Updated 8 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 2 years ago
• wesley1001 / factorlab
  FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…
  ☆17Updated 2 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆20Updated 3 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 3 months ago
• 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
• GiulioRossetti94 / PyBondLab
  ☆22Updated last week
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 10 months ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 4 years ago
• tdmdal / rl-hedge-2019
  ☆45Updated 4 years ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆13Updated 9 months ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆14Updated 2 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆55Updated this week
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆16Updated 2 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆26Updated 4 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆38Updated 4 years ago
• YuSunBaruch / MTH9894_Systematic_Trading-1
  This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course
  ☆15Updated 7 years ago