AdrienCss / OptionTradingLinks
Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.
☆26Updated last year
Alternatives and similar repositories for OptionTrading
Users that are interested in OptionTrading are comparing it to the libraries listed below
Sorting:
- 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 4 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆12Updated 9 months ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years 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
- ☆24Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆77Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- Calibration and Simulation Engine for Local Volatility Models☆11Updated 3 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Updated 7 years ago
- quantitative asset allocation strategy☆32Updated 7 months ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆86Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago