sitmo / CQFLinks
Notes and code fragments of CQF lectures.
☆16Updated 3 years ago
Alternatives and similar repositories for CQF
Users that are interested in CQF are comparing it to the libraries listed below
Sorting:
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- This will include all the lecture slides, exercise papers, and data sheets used in Certificate in Quantitative Finance for the June 2020 …☆32Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated last week
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆37Updated 7 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆54Updated 2 years ago
- ☆53Updated 8 years ago
- Implementation of 5-factor Fama French Model☆137Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆106Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- CS7641 Team project☆97Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆177Updated 4 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆61Updated 7 months ago
- volatility arbitrage in Heston model☆67Updated 9 months ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆103Updated 3 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆206Updated last year
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆161Updated 2 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- This repository hosts my reading notes for academic papers.☆95Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Learn how to research fundamental factors using Pipeline, Alphalens, and Sharadar price and fundamental data.☆16Updated last year
- ☆44Updated 3 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago