omartinsky / BlackLitterman
Implementation of the famous Black-Litterman model in Jupyter notebook
☆41Updated 4 years ago
Alternatives and similar repositories for BlackLitterman:
Users that are interested in BlackLitterman are comparing it to the libraries listed below
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ☆50Updated 7 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- Implementation of 5-factor Fama French Model☆123Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆89Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆54Updated 6 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- SOFR curve bootstrapping☆25Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- ☆18Updated 8 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆109Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- Options Pricing using Finite Difference Methods☆14Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆25Updated last year