999726541 / VIX_MODELLinks
using one-day options with all strike price to calculated VIX value by using "“More than you ever wanted to know about volatility swaps” by Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou, Goldman Sachs Quantitative Strategies Research Notes, March 1999. " approach
☆9Updated 7 years ago
Alternatives and similar repositories for VIX_MODEL
Users that are interested in VIX_MODEL are comparing it to the libraries listed below
Sorting:
- Zakamouline optimal delta hedging strategy python implementation.☆18Updated 2 years ago
- ☆51Updated 7 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- ☆18Updated 8 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆112Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆36Updated 5 months ago
- ☆24Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆49Updated 5 years ago
- Risk estimation algorithms☆30Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Advanced Risk and Portfolio Management Resources☆28Updated 5 years ago
- Delta hedging under SABR model☆32Updated last year
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- Estimation of realized quantities☆18Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆45Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 2 months ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago