Alternatives and similar repositories for covShrinkage

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

• jgatheral / RationalRoughHeston
  ☆12Updated 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)
  ☆17Updated 7 months ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 7 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆16Updated 3 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year
• wahido / neural_locVol
  ☆15Updated 4 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years 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
• 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
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆12Updated 3 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆16Updated 5 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆70Updated last year
• YuSunBaruch / MTH9894_Systematic_Trading-1
  This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course
  ☆16Updated 8 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆24Updated 3 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆95Updated 7 months ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆22Updated 5 years ago
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆22Updated last year
• oge-t / subtle_smile
  Calibration and Simulation Engine for Local Volatility Models
  ☆12Updated 3 years ago
• cvxgrp / cov_pred_finance
  ☆67Updated 4 months 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 6 months ago
• GiulioRossetti94 / PyBondLab
  ☆28Updated 4 months ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆120Updated 2 weeks ago
• omartinsky / HJM
  Heath–Jarrow–Morton model
  ☆12Updated 4 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• yc-liu / mth9814
  baruch mfe mth9814 financial instruments
  ☆16Updated 7 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆48Updated last year
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆42Updated last year
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆24Updated 7 years ago
• tdmdal / rl-hedge-2019
  ☆50Updated 5 years ago