ArturSepp / StochVolModelsLinks
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
☆170Updated last week
Alternatives and similar repositories for StochVolModels
Users that are interested in StochVolModels are comparing it to the libraries listed below
Sorting:
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 5 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 2 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆237Updated 6 months ago
- Macrosynergy Quant Research☆149Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Code repository for Pricing and Trading Interest Rate Derivatives☆99Updated 2 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆196Updated 9 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆265Updated last month
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆124Updated last year
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆110Updated 5 months ago
- CS7641 Team project☆96Updated 5 years ago
- Python library for asset pricing☆117Updated last year
- ☆52Updated 8 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆166Updated 9 months ago
- SVI volatility surface model and an example of China 50ETF option☆77Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆83Updated 7 months ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆183Updated last year
- A collection of homeworks of market microstructure models.☆251Updated 7 years ago
- To classify trades into buyer- and seller-initiated.☆148Updated 2 years ago
- Python Code for Quantitative Finance Papers☆39Updated 10 months ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- We implement the paper: Deep Learning Volatility☆193Updated 5 years ago
- ☆81Updated 9 months ago