{"repo":"craquinterogo/quantitative_finance","free":true,"listed":false,"github":"https://github.com/craquinterogo/quantitative_finance","clone":"git clone https://github.com/craquinterogo/quantitative_finance.git","description":"Testing Code abount quantitative finance algorithms","language":"Jupyter Notebook","stars":11,"topics":["quantitative-finance","derivatives","python","cpp","market-risk","liquidity-risk"],"license":null,"category":"trading","readme_excerpt":"Notes on Quantitative Finance and Machine Learning by Cristian Quintero This git repository is the result of storing some of the personal notes about models used in quantitative finance and from time to time deep learning and reinforcement learning. All those are result of lessons learned in academy and professional work. --- Lecture Notes A bit of Maths - Laplace Transformation here Interest Rates - Bonds here Options - Binomial Tree Model here - Black-Scholes equation here Stochastic Process - Geometric Brownian Motion (GBM) here --- Codes Derivatives - European Option Greeks (using Tensorflow) here - European Option (using C++ implementation) here Market Risk - VaR with Extreme Value Teory (EVT-VaR) here - Cornish Fisher VaR (mVaR) here Simulation - Monte Carlo Integration here - Random Numbers Generation here Portfolio Theory - Markowitz (unfinished) here Other models - Nelson and Siegel Model, example here Stochastic Calculous - Quadratic Variation on Brownian Motion here - Random Walk here - Geometric Brownian Motion here - Brownian Bridge here LLM - MCP server calculating HVaR (testing) here Technical Issues / Challenges - How to use C and C++ code in Python by using Swig here - Counter argument on forecasting misconception when Kernel regression is used without clear distinction between In-Sample data for training and Out-of-sample data for testing. here Any question or suggestion will be well recieved, at craquinterogo@unal.edu.co or cristian.quintero@est.uexternado.","default_branch":null,"files":null,"tree":[],"storefront":"/r/craquinterogo","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/craquinterogo/quantitative_finance/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}