khrapovs
Full stack Data Scientist. PhD in financial econometrics from University of North Carolina at Chapel Hill. Running enthusiast
m2hyconFrankfurt am Main, Germany
Pinned Repositories
bekk
Estimate parameters of BEKK model
dataanalysispython
Data Analysis in Python
diffusions
Simulation and estimation of Stochastic Diffusion models
fangoosterlee
Price options analytically given stock price characteristic function
finmetrix
FinMetrix Examples
impvol
Find Black-Scholes implied volatility
mygmm
My own implementation of the GMM estimator.
OrderBookMatchingEngine
Simple Python implementation of order book matching engine
rndensity
Risk-neutral density-density based option pricing
vix
Compute VIX and related volatility indices
khrapovs's Repositories
khrapovs/finmetrix-code
Financial Econometrics
khrapovs/skewstudent
Skewed Student distribution
khrapovs/cython_blas_lapack
Linear algebra in Cython
khrapovs/sobol
Sobol pseudo-random number generator
khrapovs/argamma
Autoregressive Gamma Processes