wilsonfreitas / oplibLinks
Option Volatility and Pricing Models.
☆12Updated 10 months ago
Alternatives and similar repositories for oplib
Users that are interested in oplib are comparing it to the libraries listed below
Sorting:
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 6 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 2 weeks ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated last year
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆50Updated 4 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated last year
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 3 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 3 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆52Updated 5 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 8 months ago
- R package AssetAllocation☆33Updated 2 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last month
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆45Updated 6 years ago
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆31Updated 2 years ago
- ☆55Updated 4 months ago
- NYU Tandon lecture slides☆32Updated 6 months ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Composite Indicators Framework for Business Cycle Analysis☆63Updated 3 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆19Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- This collects the scripts and notebooks required to reproduce my published work.☆48Updated last month
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆26Updated 4 years ago
- ☆47Updated 2 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 5 months ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆22Updated 6 years ago