quantpie / Merton-Jump-Diffusion-Model-Python-code
☆11Updated 3 years ago
Related projects: ⓘ
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆33Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆9Updated 2 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆19Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆17Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆37Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆50Updated 5 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆46Updated last year
- Quant Research☆59Updated this week
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆37Updated 10 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆94Updated 10 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated last year
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- ☆19Updated 2 years ago
- ☆19Updated 2 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆76Updated last month
- ☆43Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- Python Code for Quantitative Finance Papers☆32Updated 3 months ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆32Updated 3 years ago
- ☆15Updated 6 years ago
- ☆63Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆27Updated last year
- Code that I show on my YouTube Channel☆90Updated last year
- ☆18Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆70Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago