omartinsky / BlackLittermanLinks
Implementation of the famous Black-Litterman model in Jupyter notebook
☆41Updated 5 years ago
Alternatives and similar repositories for BlackLitterman
Users that are interested in BlackLitterman are comparing it to the libraries listed below
Sorting:
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆117Updated 6 years ago
- Implementation of 5-factor Fama French Model☆137Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆103Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 8 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆68Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆125Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- ☆53Updated 8 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆170Updated 7 years ago