Alternatives and similar repositories for KR_example

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

• 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…
  ☆13Updated 4 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• chrischia06 / Mean-Variance-Hedging
  Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈
  ☆14Updated 3 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆49Updated 5 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆71Updated 2 years ago
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• Herrsosa / Volatility-and-the-Equity-Risk-Premium
  ☆14Updated 6 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• sebjai / Portfolio-Wasserstein-Ball
  Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…
  ☆14Updated last year
• 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
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 3 months ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 2 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• rbeeli / dynamic_conditional_beta
  Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
  ☆16Updated 5 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 3 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …
  ☆10Updated 2 years ago
• asaficontact / FX_forecasting_model
  Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
  ☆32Updated 2 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆39Updated 5 months ago
• luphord / longstaff_schwartz
  A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.
  ☆43Updated last year
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• TYtianyang / scbnn
  Implied volatility surface interpolation with shape-constrained bayesian neural network.
  ☆15Updated 3 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 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 6 years ago
• LikunOuyang / MTH9855-Asset-Allocation
  Asset allocation and Portfolio Management Course @ Baruch MFE
  ☆14Updated 5 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago