samsonq / Modifying-Shiller-CAPE-Ratio
Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.
☆14Updated last year
Related projects: ⓘ
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆25Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆11Updated last year
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- ☆12Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆27Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Portfolio optimization with cvxopt☆14Updated last year
- Financial applications focusing on portfolio management for Python☆16Updated last year
- This repo is for my articles published on Medium.com☆15Updated last year
- Hawkes with Latency☆16Updated 3 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- ☆15Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 5 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆14Updated 5 years ago
- Financial and Investment Data Science: FinDS Python library and examples for applying quantitative and machine learning methods on struct…☆35Updated 3 months ago
- ☆14Updated 4 years ago
- My replication of financial papers.☆17Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆23Updated 4 years ago
- ☆17Updated 3 weeks ago
- ☆16Updated last month
- ☆25Updated 3 weeks ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 6 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆16Updated this week
- Non-Linear Covariance Shrinkage☆14Updated 2 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 4 months ago