yhilpisch / lvvd
Listed Volatility and Variance Derivatives (Wiley Finance)
☆142Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for lvvd
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆150Updated 6 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆125Updated 3 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆233Updated 9 months ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆119Updated 5 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆116Updated 3 years ago
- ☆207Updated 7 years ago
- Jupyter Notebooks and code for the book Financial Theory with Python (O'Reilly) by Yves Hilpisch.☆76Updated last year
- ☆94Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆111Updated 2 years ago
- ☆35Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆123Updated 5 years ago
- Repository of Python for Finance Cookbook, published by Packt☆85Updated 3 years ago
- Implementation of 5-factor Fama French Model☆113Updated 3 years ago
- Teaching Resources for Cuemacro courses☆53Updated 2 weeks ago
- Documentation for QuantLib-Python☆91Updated 3 months ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆122Updated 4 years ago
- ☆109Updated 8 months ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated last year
- ☆193Updated 4 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆156Updated 2 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆89Updated 11 months ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆258Updated last year
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆200Updated 3 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆33Updated 6 years ago
- portfolio construction and quantitative analysis☆138Updated 9 years ago
- Quantitative finance research tools in Python☆413Updated last year