s-broda / ComputationalFinanceLinks
Code for the MSc Finance course "Computational Finance" at U Amsterdam
☆23Updated 7 years ago
Alternatives and similar repositories for ComputationalFinance
Users that are interested in ComputationalFinance are comparing it to the libraries listed below
Sorting:
- 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
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Pricing the Term Structure with Linear Regressions☆40Updated 7 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 6 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- ☆106Updated 3 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- ☆27Updated last month
- Replication of key GARCH model papers☆35Updated 9 years ago
- ☆40Updated 6 years ago
- ☆24Updated last year
- NYU Math-GA 2048: Scientific Computing in Finance☆107Updated 5 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆52Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 5 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆50Updated 6 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
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- ☆16Updated 5 years ago
- Bayesian Statistics-Econometrics☆87Updated last year
- NYU Tandon lecture slides☆32Updated last month
- ☆71Updated 2 years ago
- Empirical Data and Some Simulation Codes☆103Updated 6 years ago