robertmartin8 / pValuation
Quantamental finance research with python
☆146Updated 2 years ago
Alternatives and similar repositories for pValuation
Users that are interested in pValuation are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆159Updated last month
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆165Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Macrosynergy Quant Research☆131Updated this week
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Python library for asset pricing☆115Updated last year
- Python Financial ENGineering (PyFENG package in PyPI.org)☆158Updated 5 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆191Updated 5 months ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆156Updated 6 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆124Updated 4 years ago
- Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied v…☆302Updated 2 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆79Updated 8 months ago
- Quant Research☆73Updated 2 months ago
- ☆211Updated 7 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆121Updated last year
- To classify trades into buyer- and seller-initiated.☆143Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆124Updated 5 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆240Updated last year
- volatility arbitrage in Heston model☆49Updated last month
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆102Updated 2 months ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆158Updated 4 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆114Updated last year
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆259Updated 2 weeks ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆72Updated 3 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆120Updated 2 years ago
- ☆38Updated 2 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆220Updated this week
- One-off scripts/analysis, usually to accompany my blog posts.☆44Updated 3 years ago