/quantitative_finance

Testing Code abount quantitative finance algorithms

Primary LanguageJupyter Notebook

Quantitative Finance

Cristian Quintero

This git repository has as target to expose some of the models used in quantitative finance to portfolio investment and financial risk, mainly. Some topics are:

Derivatives

  • European Option Greeks (using Tensorflow) 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

  • Geometric Brownian Motion (unfinished) here

Technical Issues

Swig

  • How to use C and C++ code in Python here

Any question or suggestion will be well recieved, at craquinterogo@unal.edu.co or cristian.quintero@est.uexternado.edu.co

Enjoy it!