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:
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- A Quantitative Finance Engineering Project☆14Updated 2 years ago
- Quant finance scripts☆16Updated 7 months ago
- ☆12Updated 2 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 2 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- ☆14Updated 6 years ago
- ☆23Updated this week
- ☆24Updated last year
- 👾 This repository contains files related to my personal website. Charts, Jupyter notebooks, random notes, etc.☆18Updated last year
- 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 7 months ago
- Links for the most relevant topics☆33Updated 5 years ago
- 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
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- ☆16Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 4 years ago
- ☆12Updated 5 years ago
- Source Code for 'Implementing Machine Learning for Finance' by Tshepo Chris Nokeri☆33Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- ☆22Updated 3 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆143Updated 3 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆90Updated 2 months ago