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altdata

internship research project

anderson-lake-python

Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature.

awesome-compose

Awesome Docker Compose samples

backtrader

Python Backtesting library for trading strategies

bda

big data analytics, machine learning, logistic regression, lasso regression, cross validation, random forest, bagging - fin580

bloomberg-bmc

Bloomberg Terminal Exercises

dspyfin

Advanced Data Science and Python for Finance Projects - Backtrader Python

fe

financial engineering projects fin514 - complex derivatives pricing, Monte Carlo simulations, binomial tree modeling, FD(cn, explict) methods, PDE derivation

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

frm

quant risk modeling fin567 - VaR, ES, EVT, NGARCH, ARMA models & counterparty credit risks

js-yaml

JavaScript YAML parser and dumper. Very fast.

json2yaml

A command-line utility to convert a JSON file (.json) to YAML (.yml)

lognormal_forward_libor_model_calibration

Used 10 cap and 10*10 swaption prices to calibrate the volatility parameters in Lognormal Forward Rate Model based on 5 different model specifications using MATLAB. Then plotted the volatility surfaces against the actual volatility surfaces to compare the performance of each specification. Finally run a Cascade calibration to explicitly solve the volatility parameters.

mastering-python-for-finance-source-codes

Accompanying source codes for my book 'Mastering Python for Finance'.

option_pricing_api_ui

A Derivatives Pricing App

pyportfolioopt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

qinvest

quant invest and trading algorithms and cases fin580

quantus

reinforcement-learning-an-introduction

Python Implementation of Reinforcement Learning: An Introduction

sas

SAS® Base Programmer certification

stochastic-volatility

three stochastic volatility model: Heston, SABR, SVI

stock_market_reinforcement_learning

This project provides a stock market environment using OpenGym with Deep Q-learning and Policy Gradient.

trade_covid19

quant trading algos develop amid covid-19

tradinggym

Trading and Backtesting environment for training reinforcement learning agent or simple rule base algo.

zipline

Zipline, a Pythonic Algorithmic Trading Library