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1. 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 2

2. 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 2

3. 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 1

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

   Regime-conditional volatility forecasting framework using HAR-RV as a baseline and XGBoost on either residual vol or directly on log(RV), implemented for Germany and France electricity markets. Met…

   Jupyter Notebook 1

5. forecasting-da-id-energy-markets forecasting-da-id-energy-markets Public

   Forecasting and trading framework for German day-ahead and intraday markets using EPEX Spot and ENTSO-e data. Extendable to other European markets. Potential for generation/load forecasting.

   Python 1

6. cmssw cmssw Public

   Forked from cms-sw/cmssw

   CMS Offline Software

   C++