DUCKQUANT / THE QUANT & AI DIRECTORY
14,444 resources, ranked by in-directory PageRank
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Market risk(VaR), derivative pricing, CVA model in python and C++
Value at Risk (Normal, Student-t, Historical, Monte Carlo, GARCH) and volatility modeling on GGAL through Argentina's major market crises, with backtesting and macro/political event…
Rebalancing frequency, drift, and transaction cost analysis for global equity index portfolios
Extended-hours trading is nothing new, but with more brokers offering 24/5 access, the stock market is becoming more global, accessible—and potentially volatile.
Time series forecasting techniques applied to datasets in the financial domain
Financial time series forecasting toolkit in R. Implements ARIMA, GARCH, Prophet, and ensemble models for stock price prediction, volatility modeling, and risk assessment.
Testing the Local-Stochastic volatility model for forward rates following Bang 2018
Calibration of Hagan'a SABR stochastic volatility model using QuantLib
MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA,…
Algorithmic Forex Binary option pricing & high-frequency trading simulation via GPU-accelerated stochastic volatility model calibration.
Likelihood estimation of stochastic volatility models
implied volatility modelling consists in attempting to describing the behaviour of the implied volatility surface (or just the volatility smile of a given maturity)…
A C++ project for Heston Stochastic-Local Volatility model.
Stochastic Volatility Modelling using Hidden Markov Model
An end-to-end financial analytics platform that brings together portfolio optimisation, algorithmic trading, volatility modelling, and advanced econometric analysis. Built with a modular architecture, FINA…
🚀 A comprehensive project analyzing Big Tech stock prices using time series analysis, volatility modeling, and macroeconomic indicators. Featuring interactive dashboards and automated reporting!…
I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In particular, we estimate and forecast real-time…
Implementation of the rough volatility model and its calibration
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.
