ssanderson / convex-optimization-for-financeLinks
Talk Materials for "Convex Optimization for Finance"
☆28Updated 2 years ago
Alternatives and similar repositories for convex-optimization-for-finance
Users that are interested in convex-optimization-for-finance are comparing it to the libraries listed below
Sorting:
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 4 years ago
- ☆10Updated 7 years ago
- ☆12Updated last year
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated last year
- Development space for PhD in Finance☆33Updated 5 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Machine Learning for Financial Market Prediction☆58Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 6 months ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- ☆19Updated 4 years ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 9 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆36Updated 8 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Quant finance scripts☆16Updated last month
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ☆19Updated 6 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago