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
Language:Python12 3 08
dataanalysispython
Data Analysis in Python
Language:Jupyter Notebook10 3 015
diffusions
Simulation and estimation of Stochastic Diffusion models
Language:Python1 3 01
fangoosterlee
Price options analytically given stock price characteristic function
Language:Python15 2 08
finmetrix
FinMetrix Examples
Language:Jupyter Notebook5 3 02
impvol
Find Black-Scholes implied volatility
Language:Python21 1 09
mygmm
My own implementation of the GMM estimator.
Language:Python4 1 02
OrderBookMatchingEngine
Simple Python implementation of order book matching engine
Language:Python3 1 20
rndensity
Risk-neutral density-density based option pricing
Language:Python8 2 05
vix
Compute VIX and related volatility indices
Language:Jupyter Notebook104 7 233

khrapovs's Repositories

khrapovs/finmetrix-code
Financial Econometrics
Language:Python52
khrapovs/skewstudent
Skewed Student distribution
Language:Python2 2 0
khrapovs/cython_blas_lapack
Linear algebra in Cython
Language:Python1 2 0
khrapovs/sobol
Sobol pseudo-random number generator
Language:Python1 2 01
khrapovs/argamma
Autoregressive Gamma Processes
Language:Python