Finance World

Optimization techniques on the financial area for the hedging, investment strategies, and risk measures. Codes are categorized to Basic & Advanced, as the Financial engineering or Market microstructure concept are included or not. I am trying to visualize it to grasp well but recommend that check the reference paper before you give yourself over to code, especially in Advanced folder.

This repository will be added & fixed continuously

Basic

1. Modern Portfolio Theory

2. Return Distribution Analysis with Risk Measure

3. Naive Classification Procedure for ML Trading

4. ELS Pricing(Kor)

(The figure below is only intended to show the structure of the ELS. Code result is just a price of ELS)

5. Volatility Surface

Advanced

1. Hedging Option with Replicating Portfolio(Kor)

2. Pension Planning using HJB eqn

3. Pension Planning with RL

4. High Frequency Trading with RL

(cont'd)

MIT License

Copyright (c) 2019 U. Jang