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slow-momentum-fast-reversion
slow-momentum-fast-reversion PublicForked 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
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deep_rough_calibration
deep_rough_calibration PublicForked from bstemper/deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
Jupyter Notebook
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autocallable-simu
autocallable-simu PublicForked from fdallac/autocallable-simu
Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark
Python
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