Alternatives and similar repositories for copula

Users that are interested in copula are comparing it to the libraries listed below

• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 7 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated last week
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• oronimbus / curve-bootstrapper
  A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.
  ☆11Updated 3 months ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆24Updated 5 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆15Updated 4 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆21Updated 5 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆17Updated last year
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆16Updated 5 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• hellojinwoo / CA_GMVP
  Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'
  ☆22Updated 3 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated last year
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆101Updated 5 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆16Updated 3 years ago
• TommasoBelluzzo / HFMRD
  A framework for detecting misreported returns in hedge funds.
  ☆16Updated 6 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆56Updated 2 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 7 years ago
• yye9701 / KR_example
  ☆22Updated 3 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 4 years ago