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1. Portfolio-optimization Portfolio-optimization Public

   A Python class for portfolio construction, risk-aware optimization and rolling backtests. Supports empirical mean shrinkage, Ledoit–Wolf covariance, EWMA, CVaR, risk-parity, turnover-aware Sharpe o…

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2. energy-options-mc-pricing energy-options-mc-pricing Public

   Pricing energy options (focus on German power) with MC and jump-diffusion mean-reversion model, including stochastic volatility, seasonality and regime filtering. Model parameters are calibrated on…

   Jupyter Notebook 1

3. fixed-income fixed-income Public

   A toolkit-class for fixed income basics, like Nelson-Siegel and Svensson, incl. dynamic with Extended Kalman Filter, VAR forecasting of YC, scenario generation, CVaR optimizer, bond pricing and more

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4. residual-volatility-forecasting-ml-trading residual-volatility-forecasting-ml-trading Public

   Hybrid volatility forecasting framework using HAR-RV as a baseline and XGBoost on residual vol, implemented for Germany and France electricity markets. Metric: Spearman ranking. Model validation an…

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5. cmssw cmssw Public

   Forked from cms-sw/cmssw

   CMS Offline Software

   C++