mathematical-finance

There are 11 repositories under mathematical-finance topic.

• EliteQuant / EliteQuant

  A list of online resources for quantitative modeling, trading, portfolio management

  quantitative-tradingquantitative-financetrading-platformtrading-systemsportfolio-managementasset-managementasset-pricingmathematical-financemachine-learningalgorithmic-trading
  2769

• romanmichaelpaolucci / Q-Fin

  A Python library for mathematical finance

  mathematical-financeoption-pricingpythonquantitative-finance
  Language:Python 375
• CompFinance

  asavine / CompFinance

  Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)

  quantitative-financeautomatic-differentiationmonte-carlo-simulationparallel-computingmathematical-financecomputational-financeantoine-savine
  Language:C++ 157
• fortitudo.tech

  fortitudo-tech / fortitudo.tech

  Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.

  cvar-optimizationentropy-poolingasset-allocationasset-managementportfolio-optimizationmean-variance-optimizationefficient-frontierinvestment-analysisportfolio-allocationportfolio-selectionrisk-adjusted-returnmarkowitz-portfoliomathematical-financeinvestment-managementinvestmentsportfolio-constructionblack-littermancvarconditional-value-at-riskquantitative-finance
  Language:Python 149

• PyFE / PyFENG

  Python Financial ENGineering (PyFENG package in PyPI.org)

  bachelier-modelblack-scholesderivativesfinancial-engineeringheston-modelmathematical-financeoption-pricingquantitative-financesabr-model
  Language:Python 129

• chicago-joe / Option-Pricing-via-Levy-Models-in-R

  using the Inverse-Transform method to speed up options pricing simulations in R

  roption-pricingoptions-tradingalgorithmic-tradingcomputational-financelevy-modelslevy-processeslevy-processmonte-carlo-simulationmonte-carlo-simulationseuropean-optionsr-programmingr-languagemathematical-modellingmathematical-financefinancial-engineering
  Language:R 27
• Pynaissance

  conquerv0 / Pynaissance

  A walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will include a full-fledged integration and utilization of Quantopian, GS-Quant, WRDS API and their relevant datasets and analytics.

  portfolio-managementquantitative-financemathematical-financestatistical-arbitragequantamental-investmentsmarket-data-handlertechinical-analysispythonforfinance
  Language:Jupyter Notebook 24
• entropy-pooling

  fortitudo-tech / entropy-pooling

  Entropy Pooling in Python with a BSD 3-Clause license.

  black-littermanentropy-poolinginvestment-analysisinvestmentsmathematical-financeportfolio-constructionquantitative-financeasset-allocationasset-managementbayesianconditional-value-at-riskcvarentropyinvestment-managementmarket-viewsmaximum-entropyportfolio-selectioninvestment-riskfortitudo-tech
  Language:Python 19

• wegamekinglc / Derivatives-Algorithms-Lib

  AAD enabled and scripting included derivatives modeling.

  cppderivativesexcelfinancefixed-incomemathematical-financemathematicspythonquantquantitative-financescripting
  Language:C++ 18

• shivanshsinghal107 / StockBot

  A python telegram bot to fetch real-time global financial market indices, latest news articles in the world of finance & business, and articles of math models & finance for algorithmic trading

  financenewstelegram-botstock-chartsstocksweb-scrapingmathematical-financealgorithmic-trading
  Language:Python 17

• PyFE / FE-R

  Financial Engineering in R

  bachelierblack-scholesderivativesfinancial-engineeringmathematical-financeoption-pricingquantitative-finance
  Language:R 13

• white07S / Pricing-Models

  Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.

  algorithmic-tradingamerican-optionsbinomial-modelblack-scholeseuropean-optionsforex-predictionforex-tradingheston-modelheston-stochastic-volatilitymarkov-modelmathematical-financeoption-pricingoptions-tradingpricing-modelstochastic-processesvolatility-modeling
  Language:Python 13

• AlbertLin0327 / Least-Square-Monte-Carlo

  A Program to calculate the price of American put or call option with Least Square Monte Carlo

  least-squares-monte-carloamerican-optionslsmcmathematical-financefinancial-analysisoption-pricingmonte-carlo
  Language:Python 12

• finmath / finmath-smart-derivative-contract

  Tools and analytics for smart derivative contracts.

  finmath-libmathematical-finance
  Language:Java 9

• dancixx / stochastic-js

  This project try to bring closer the stochastic calculus and Typescript.

  malliavin-calculusmathematical-financemathematical-modellingmathematicsstochasticstochastic-differential-equationsstochastic-processes
  Language:TypeScript 5

• danielmenno / gpr-variance-swaps

  This repository contains some of the implementations related to my master thesis under supervision of Prof Josef Teichmann at ETH Zurich.

  mathematical-financegaussian-processesmachine-learningcomputational-financevariance-swap
  Language:Jupyter Notebook 5

• white07S / Forex-Fibonacci

  A mathematical model for Fibonacci Retracement and location entry and exit formulation using ML

  fibonacci-retracementsforex-tradingmathematical-finance
  Language:Python 5

• artemmavrin / binomial-options-pricing

  Find arbitrage-free initial price for options in the CRR binomial options pricing model

  binomial-modelfinancemathematical-financeoption-pricing
  Language:C 4

• dfleis / macf402

  Course material for Mathematical and Computational Finance 1

  mathematical-financecomputational-financelecture-notes
  Language:TeX 4

• akaguilar / Topological-Data-Analysis

  All code, scripts, and figures for Topological Data Analysis related papers.

  topological-data-analysistopological-time-seriespersistent-homologymathematical-finance
  Language:R 3

• ap-browning / persisters

  Supplementary code for "Persistence as an optimal hedging strategy"

  bacterial-persistencehedgingmathematical-financestochastic-differential-equationsoptional-control
  Language:MATLAB 2

• dfleis / macf401

  Course material for Mathematical and Computational Finance 1

  computational-financemathematical-financelecture-notes
  Language:TeX 2

• anasarkawi1 / mercury

  A currently in development Python module made for algorithmic trading and sits at heart of Lycon.io and powers the platform.

  algorithmic-tradingdata-sciencemathematical-financenumpypandaspythonquantitative-finance
  Language:Python 1

• janka-moeller / Sig-SPT

  Code for article "Signature Methods in Stochastic Portfolio Theory"

  machine-learningmathematical-financeoptimizationportfolio-optimizationsignature-methods
  Language:Python 1

• SupaMafia / Simple-Portfolio-Calculator

  Portfolio Optimization is an important part of investment no matter what you are investing. It is a feature that many trading apps and platform offer, but at what cost. This is a program that takes two sets of indices and calculates optimum portfolio for either maximizing return or minimizing risk.

  mathematical-financejavatothemoonquantitative-financestock-marketfinanceportfolio
  Language:Java 1

• tiaraalamanda / computational-quantitative-finance

  The repository aims to provide useful resources for financial practitioners, data scientists, and software developers interested in combining mathematics and information technology to analyze and optimize financial decisions.

  computational-financemathematical-financequantitative-finance
  Language:Jupyter Notebook 1

• liomaix / liomaix.github.io

  Lionel Sopgoui Website

  climate-transition-riskcredit-riskfinancial-modelingmathematical-financephdquantitative-financetrading
  Language:JavaScript 0

• ydkristanto / apl-simulasi-tabungan

  Aplikasi Shiny untuk mensimulasikan permasalahan tentang tabungan.

  annuitycalculatorfinancemathematical-financeshiny-appsshinydashboardsimulation
  Language:R 0

• yilvas09 / yilvas09-notes-mathfin-MITOCW

  Notes for Topics in Mathematics with Applications in Finance (MITOCW)

  lecture-notesmathematical-financemkdocs
  0

• yulu0131 / FinMathematics

  Mathematical Finance Books.

  mathematical-finance
  Language:Mathematica 0

• Chandrachud23 / Stock-prediction-using-LSTM

  Predicting the stock price using LSTM model.

  prediction-modelstock-marketquantitative-financelstmkerasmathematical-financeprediction-algorithm
  Language:Python

• kinest22 / fin-math-notes

  Mathematical finance study hall

  financial-mathematicsmathematical-financerandom-processes-modelingstochastic-calculusnotes