qlero / vix_index_modelizationLinks
Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.
☆22Updated 6 years ago
Alternatives and similar repositories for vix_index_modelization
Users that are interested in vix_index_modelization are comparing it to the libraries listed below
Sorting:
- Development space for PhD in Finance☆33Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆49Updated 5 months ago
- ☆35Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- My replication of financial papers.☆19Updated 7 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆58Updated 8 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Code for getting implied volatility in Python☆26Updated 8 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 6 months ago
- ☆15Updated 3 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- ☆14Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 7 months ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆121Updated 4 years ago
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆28Updated 2 months ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆36Updated last year
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆49Updated 2 years ago
- ☆44Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- alpha-RNN☆30Updated 5 years ago