Image de couverture de livre

Factor Engine: A Python Library for Systematic Financial Factor Computation and Analysis

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteur principal:	Keskin, Ata
Format:	Preprint
Publié:	2026
Sujets:	Computational Finance 91G15, 91G60 D.2.13; J.4
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

A Computational Framework for Financial Structures
par: Scala, Antonio
Publié: (2026)

Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index
par: Oketunji, Abiodun Finbarrs
Publié: (2025)

A Deep Reinforcement Learning Trader without Offline Training
par: Lazov, Boian
Publié: (2023)

On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
par: Kopeliovich, Yaacov, et autres
Publié: (2024)

Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
par: Teng, Changqing, et autres
Publié: (2024)

Criteria for the absence of arbitrage in general diffusion markets
par: Criens, David, et autres
Publié: (2023)

Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
par: Saqur, Raeid
Publié: (2026)

No arbitrage and the existence of ACLMMs in general diffusion models
par: Criens, David, et autres
Publié: (2024)

A Monotone Limit Approach to Entropy-Regularized American Options
par: Chee, Daniel, et autres
Publié: (2026)

Pricing and hedging for a sticky diffusion
par: Anagnostakis, Alexis
Publié: (2023)

Pricing VIX options under the Heston-Hawkes stochastic volatility model
par: Font, Oriol Zamora
Publié: (2024)

Analytic approximation for Bachelier option prices and applications
par: Alòs, Elisa, et autres
Publié: (2026)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
par: Tissot-Daguette, Valentin
Publié: (2026)

Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
par: Jaber, Eduardo Abi, et autres
Publié: (2025)

A Mean-Reverting Model of Exchange Rate Risk Premium Using Ornstein-Uhlenbeck Dynamics
par: Hwang, SeungJae
Publié: (2025)

Separating Times for One-Dimensional General Diffusions
par: Criens, David, et autres
Publié: (2022)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
par: Bourgey, Florian, et autres
Publié: (2021)

Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
par: Andersson, Kristoffer, et autres
Publié: (2025)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
par: Bossu, Sebastien, et autres
Publié: (2025)

Computing Systemic Risk Measures with Graph Neural Networks
par: Gonon, Lukas, et autres
Publié: (2024)

Hedging in Jump Diffusion Model with Transaction Costs
par: Almani, Hamidreza Maleki, et autres
Publié: (2024)

Risk premium and rough volatility
par: Bonesini, Ofelia, et autres
Publié: (2024)

From constant to rough: A survey of continuous volatility modeling
par: Di Nunno, Giulia, et autres
Publié: (2023)

Calibration of the Bass Local Volatility model
par: Acciaio, Beatrice, et autres
Publié: (2023)

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
par: Al-Foraih, Mishari, et autres
Publié: (2023)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
par: Das, Kaustav, et autres
Publié: (2021)

Open Markets and Hybrid Jacobi Processes
par: Itkin, David, et autres
Publié: (2021)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
par: Choi, Jaehyuk, et autres
Publié: (2024)

The Stablecoin Discount: Evidence of Tether's U.S. Treasury Bill Market Share in Lowering Yields
par: Ante, Lennart, et autres
Publié: (2025)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
par: Wizman, Aaron, et autres
Publié: (2026)

A New DAPO Algorithm for Stock Trading
par: Zha, Ruijian, et autres
Publié: (2025)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
par: Choi, Jaehyuk, et autres
Publié: (2023)

Uncertainty-Aware Deep Hedging
par: Poddar, Manan
Publié: (2026)

Deep learning interpretability for rough volatility
par: Yuan, Bo, et autres
Publié: (2024)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
par: Alòs, Elisa, et autres
Publié: (2025)

A Portfolio's Common Causal Conditional Risk-neutral PDE
par: Dominguez, Alejandro Rodriguez
Publié: (2024)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
par: Putri, Nunik Srikandi, et autres
Publié: (2026)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
par: Alaya, Mohamed Ben, et autres
Publié: (2024)

Gaussian Volterra processes as models of electricity markets
par: Mishura, Yuliya, et autres
Publié: (2023)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
par: Gairat, Alexander, et autres
Publié: (2023)