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  1. cmssw cmssw Public

    Forked from cms-sw/cmssw

    CMS Offline Software

    C++

  2. 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…

    Jupyter Notebook

  3. 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

  4. 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

    Jupyter Notebook

  5. garch-filtered-volatility-forecasting-ml garch-filtered-volatility-forecasting-ml Public

    GARCH-filtered volatility forecasting framework using XGBoost on residuals, implemented for coupled DE-FR electricity market. Metric: mostly Spearman ranking. Model validation and market-neutral st…

    Jupyter Notebook