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
• 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
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆100Updated 5 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated last week
• oronimbus / curve-bootstrapper
  A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.
  ☆11Updated 4 months ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆56Updated 2 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆28Updated 5 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆32Updated 9 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated last year
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆71Updated 6 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆20Updated 5 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 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
• 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
• Jianeng / Deep-Learning-in-Asset-Pricing
  https://arxiv.org/abs/1805.01104
  ☆121Updated 5 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆17Updated last year
• t-vi / interesting-rates
  Economic models and things in Pytorch
  ☆21Updated 8 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 7 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 4 years ago
• stochasticresearch / copula-py
  Python Copula Module
  ☆43Updated 2 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆24Updated 4 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆31Updated 4 years ago