Mister Amateur's repositories
adv-financial-ml-marcos-exercises
Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado
Adv_Fin_ML_Exercises
Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]
BaruchAdvancedCpp
Code developed for the Advanced C++ and Modern Design Online Certificate taken with Baruch MFE program and taught by Dr. Daniel Duffy from QuantNet
book_irds3
Code repository for Pricing and Trading Interest Rate Derivatives
Computational-Finance-Course
Here you will find materials for the course of Computational Finance
Fifa21-Autobidder
Selenium-based bot that autobids and autobuys players on FIFA 21 Ultimate Team's transfer market
Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
HJM
The Heath-Jarrow-Morton Model (HJM Model) is used to model forward interest rates using a differential equation that allows for randomness. I explained the assumptions of HJM model, then demonstrated how to calibrate and use it for security pricing in Python. https://youtu.be/tB_O2UccDyQ
lvvd
Listed Volatility and Variance Derivatives (Wiley Finance)
mlfactor.github.io
Website dedicated to a book on machine learning for factor investing
MTH9875-Volatility-Surface
Baruch MFE 2019 Fall
Papers
Quant Research Papers
PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
public
Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)
pyBlackScholesAnalytics
Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
Python
All Algorithms implemented in Python
Python-GUI-Programming-with-Tkinter-2E
Python GUI Programming with Tkinter 2E.Published by Packt
QuantFinanceBook
Quantitative Finance book
QuantitativeFinance
Delta-Gamma Hedging and Implied Volatility Surfaces
raccoonpesfifa
Config files for my GitHub profile.
rateslib
A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
research
Notebooks based on financial machine learning.
Riskfolio-Lib
Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
SABR
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. I explained the formula of SABR model, then demonstrated how to calibrate SABR model in Python. You are welcome to provide your comments and subscribe to my YouTube channel. https://youtu.be/NWcRD2gOlhA
SSVI
Surface SVI parameterisation and corresponding local volatility
Vol-surface-parametrisation
Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations