phschiele / PyCLALinks
A Python Package for Portfolio Optimization using the Critical Line Algorithm
☆26Updated 2 years ago
Alternatives and similar repositories for PyCLA
Users that are interested in PyCLA are comparing it to the libraries listed below
Sorting:
- ☆23Updated this week
- ☆70Updated 7 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Run hierarchical risk parity algorithms☆51Updated this week
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆42Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- Underlying package for the 10-line cta☆14Updated this week
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆76Updated 7 years ago
- Tool to support backtests☆49Updated this week
- my talk for credit suisse☆41Updated this week
- Development space for PhD in Finance☆34Updated 5 years ago
- ☆32Updated this week
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆56Updated 5 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Risk tools for commodities trading and finance☆37Updated last week
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆31Updated last year
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆25Updated 6 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆140Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆61Updated 3 years ago
- ☆22Updated 7 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29Updated 5 years ago
- critical line algorithm for efficient frontier☆19Updated this week