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Popular repositories

  1. heston heston Public

    Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data.

    Python 2

  2. jumpdiffusion jumpdiffusion Public

    Conducting Monte Carlo simulation of stochastic models (GBM, Merton Jump Diffusion Model) for the forecasting of stock positions. Serves as a "prelude" to the heston repository.

    Python

  3. TCF TCF Public

    TCF, or The Contrarian Fund, is a proposed trading strategy that is based in mean reversion. The following code is used to algorithmically determine the portfolio composition, on an ongoing basis. …

    Python