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 2 months ago
- ☆24Updated 5 years ago
- ☆8Updated 9 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆16Updated last year
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years 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
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- ☆18Updated 8 years ago
- SABR Implied volatility asymptotics☆22Updated 5 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
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆45Updated 3 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Baruch MFE MTH9894☆12Updated 8 years ago
- Delta hedging under SABR model☆32Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆12Updated 7 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 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
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Calibration and Simulation Engine for Local Volatility Models☆11Updated 3 years ago