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
• European Option (using C++ implementation) 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

• Random Walk here
• Geometric Brownian Motion (unfinished) here
• Brownian Bridge 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!