qmoms package to compute option-implied moments from surface data
☆28Feb 26, 2026Updated 4 months ago
Alternatives and similar repositories for qmoms
Users that are interested in qmoms are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the impl…☆26Nov 23, 2023Updated 2 years ago
- ☆10May 10, 2026Updated 2 months ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆32Mar 6, 2025Updated last year
- ☆36Apr 8, 2026Updated 3 months ago
- Repository containing vintages of oil supply news shock data☆14Jun 9, 2026Updated last month
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆22Aug 8, 2022Updated 3 years ago
- ☆37Jun 13, 2024Updated 2 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆49Jan 26, 2023Updated 3 years ago
- tests for cohort-level heterogeneity in panel regression☆11Mar 12, 2025Updated last year
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- AI-Augmented Replication Package: 0DTE Trading Rules — Tail Risk, Implementation, and Tactical Timing☆42Jun 16, 2026Updated last month
- Convert unstructured text into structured datasets☆27Apr 15, 2026Updated 3 months ago
- Simulation of Stock Data Using Recurrent GAN☆18Sep 2, 2021Updated 4 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated last year
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆19Jun 10, 2022Updated 4 years ago
- Thesis support material☆11Mar 28, 2021Updated 5 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated 2 years ago
- A database on VC-backed startups from Ewens and Malenko (2025)☆14Feb 15, 2025Updated last year
- Operator Deep Smoothing☆17May 22, 2026Updated 2 months ago
- Use the Finite Difference method to price European, American and Bermudan options.☆23Aug 5, 2020Updated 5 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- ☆37Updated this week
- ☆59Oct 20, 2025Updated 9 months ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Empirical Asset Pricing Tools☆58Apr 19, 2026Updated 3 months ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- WORK-IN-PROGRESS Solve and estimate heterogenous agent models with sequence-space Jacobians☆19Dec 27, 2023Updated 2 years ago
- Full pipeline to download, parse, clean, and assemble SEC N-PORT filings into research-ready datasets. N-PORT forms are quarterly filings…☆15Nov 11, 2025Updated 8 months ago
- ☆53Jun 21, 2017Updated 9 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆20Aug 2, 2022Updated 3 years ago
- ☆40Dec 11, 2025Updated 7 months ago
- Python SIR-x model implementation☆10Dec 8, 2022Updated 3 years ago
- Presentation for QuantCon 2016☆11Apr 9, 2016Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- ☆29Apr 17, 2023Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 4 years ago
- Sample Codes for the Course "Computations and Quantitative Models in Macro" by Alex Monge at the EUI, Florence☆11Nov 9, 2022Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆93Feb 25, 2024Updated 2 years ago
- ☆21May 2, 2022Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆76Mar 22, 2024Updated 2 years ago