quantgirluk / ICMMLinks
📝 Introduction to Monte Carlo methods in Finance Workshop Materials
☆21Updated 2 years ago
Alternatives and similar repositories for ICMM
Users that are interested in ICMM are comparing it to the libraries listed below
Sorting:
- ☆24Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 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
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- ☆14Updated 6 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- 👾 This repository contains files related to my personal website. Charts, Jupyter notebooks, random notes, etc.☆18Updated 11 months ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆30Updated 5 years ago
- Monte Carlo Submission Examples☆17Updated last year
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- Links for the most relevant topics☆32Updated 5 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆87Updated last month
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Quant finance scripts☆16Updated 5 months ago
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- ☆22Updated last month
- ☆16Updated 5 years ago
- ☆12Updated 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
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- ☆14Updated 4 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 4 years ago
- Source Code for 'Implementing Machine Learning for Finance' by Tshepo Chris Nokeri☆33Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago