Optimization techniques on the financial area for the hedging, investment starategies, and risk measures
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
(The figure below is only intended to show the structure of the ELS. Code result is just a price of ELS)
(cont'd)
MIT License
Copyright (c) 2019 U. Jang