s-broda / ComputationalFinance

Related projects: ⓘ

• luphord / longstaff_schwartz
  A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.
  ☆37Updated 10 months ago
• AndrewLyasoff / SMAP
  Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…
  ☆22Updated 3 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆34Updated 3 years ago
• chen-bowen / Computational_Finance
  ☆30Updated this week
• QuantEcon / dynamic_factor_models
  ☆37Updated 5 years ago
• miabrahams / PricingTermStructure
  Pricing the Term Structure with Linear Regressions
  ☆34Updated 6 years ago
• AIM-IT4 / InterestRateModelsCpp
  ☆22Updated 7 months ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆17Updated 4 years ago
• keithalewis / MATHG5260
  Programming for Quantitative and Computational Finance
  ☆11Updated 4 years ago
• yye9701 / KR_example
  ☆19Updated 2 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆11Updated 5 years ago
• supreeth8 / Term_structure_modeling
  Yield curve Interpolation using cubic spline and nelson Seigel model
  ☆14Updated 5 years ago
• dpicone1 / Vasicek_CIR_HoLee_HullWhite_Models_Python
  Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes
  ☆43Updated 4 years ago
• andrequant / MPT_BlackLitterman
  Implementation of Modern Portfolio Theory and Black Litterman Model
  ☆19Updated 2 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 4 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆30Updated 5 years ago
• roederd / volatility_model_calibration_with_nn
  ☆15Updated 4 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆33Updated 3 years ago
• cantaro86 / python-machine-learning-book-2nd-edition
  The "Python Machine Learning (2nd edition)" book code repository and info resource
  ☆14Updated 5 years ago
• rbeeli / dynamic_conditional_beta
  Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
  ☆15Updated 4 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 3 years ago
• pingfcc99 / FixedIncomeQuantTrading
  ☆15Updated 6 years ago
• algoquant / lecture_slides
  NYU Tandon lecture slides
  ☆29Updated last week
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆31Updated 8 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆11Updated 3 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• JackJacquier / python-for-finance
  Python for Finance module for Imperial MSc in Mathematics and Finance
  ☆79Updated 9 months ago
• mfrdixon / G-Learning-Wealth-Management
  ☆19Updated 2 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• mrefermat / quant_finance
  Repository for teachings on Quant Finance
  ☆47Updated 4 years ago