DUCKQUANT / THE QUANT & AI DIRECTORY
4,091 resources, ranked by in-directory PageRank
Implementation of primal and dual method to solve the optimal stopping problem in non-Markovian situations, see https://arxiv.org/abs/2312.03444 for details. Examples include optimal stopping of…
Univariate Time Series Modeling (ARMA, ARIMA, ARFIMA), Volatility Modeling and Forecasting (Rolling Window), Value at Risk (VaR) Forecasting and Backtesting
Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs
Q-Variance Challenge: Can any continuous-time stochastic-volatility model reproduce q-variance?
The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volatility for each stock and predicts…
Julia package to provide reference European option prices for stochastic volatility models with a known characteristic function, such as the Heston stochastic volatility model.
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Derivatives pricing, volatility modeling, uncertainty estimation, and risk-aware options research.
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
Volatility models for stock prices using deep learning and mixture models.
Calibration and Simulation Engine for Local Volatility Models
Fourier-Bayesian estimation of stochastic volatility models
Multivariate Volatility Models (ARCH) for stock prices and other time series
Stochastic local volatility model calibration
Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.
A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.
Implementations of the Heston stochastic volatility model
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
By means of stochastic volatility models
The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic volatility models to…
three stochastic volatility model: Heston, SABR, SVI
Real-time price monitoring system with Korean economic data APIs, PostgreSQL storage, and Streamlit dashboard.
Software to pull from common economic data APIs for back testing and strategy.
IMF MCP Server - International Monetary Fund Economic Data API for Azure Container Apps
Frontend web application for visualizing and interacting with the Economic Data API
An Elixir client for the Federal Reserve Economic Data API
Economic API that integrates several public economic data APIs.
Experimental visual interface to the FRED economic data API
Get data from the Federal Reserve Economic Data API
Review of FRED (Federal Reserve Economic Data) API
Free Economic Data API - Aggregated Government Data
Economic Data API Microservice (ED-API)
Economic Data Analysis Example
