This project is part of the Quantitative Portfolio Management course in the Master's program in Economics & Financial Engineering at Paris Dauphine University - PSL . The aim is to replicate and analyze the methods and findings of the research article "Catching the curl: Wavelet thresholding improves forward curve modelling" by Gabriel J. Power, James Eaves, Calum Turvey, Dmitry Vedenov. This study introduces an innovative method of enhancing forward curve modelling using wavelet thresholding. The approach is particularly relevant for financial markets and offers new perspectives in quantitative management.
Run the file install_for_windows.bat, it will install dependencies and create a virtual environment for the project.
All the code is in the src folder. The research paper is in the static folder.
Authors : Naïm LEHBIBEN - Joudy BENKADDOUR - Cyprien TARDIVEL - Xiyu XUE