omartinsky / BlackLittermanLinks
Implementation of the famous Black-Litterman model in Jupyter notebook
☆40Updated 4 years ago
Alternatives and similar repositories for BlackLitterman
Users that are interested in BlackLitterman are comparing it to the libraries listed below
Sorting:
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆131Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Implementation of 5-factor Fama French Model☆126Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆112Updated 6 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- ☆18Updated 8 years ago
- Backtest result archive for Momentum Trading Strategies☆59Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆98Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆45Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 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
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆78Updated 3 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆119Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- This repository hosts my reading notes for academic papers.☆86Updated 3 years ago
- Advanced Risk and Portfolio Management Resources☆28Updated 5 years ago
- ☆51Updated 8 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago