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  1. slow-momentum-fast-reversion slow-momentum-fast-reversion Public

    Forked from kieranjwood/slow-momentum-fast-reversion

    This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).

    Python 1

  2. text_summary text_summary Public

    Jupyter Notebook

  3. deep_rough_calibration deep_rough_calibration Public

    Forked from bstemper/deep_rough_calibration

    C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.

    Jupyter Notebook

  4. autocallable-simu autocallable-simu Public

    Forked from fdallac/autocallable-simu

    Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark

    Python