ArturSepp / StochVolModels
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
☆153Updated last month
Alternatives and similar repositories for StochVolModels:
Users that are interested in StochVolModels are comparing it to the libraries listed below
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆96Updated last month
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆181Updated 3 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆95Updated 2 weeks ago
- Macrosynergy Quant Research☆118Updated this week
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆74Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆62Updated 2 months ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆103Updated 10 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆59Updated this week
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆202Updated last month
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆52Updated 2 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆147Updated 9 months ago
- A collection of homeworks of market microstructure models.☆223Updated 6 years ago
- Python library for asset pricing☆112Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- To classify trades into buyer- and seller-initiated.☆137Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆119Updated 6 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆70Updated 2 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆190Updated this week
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆108Updated 5 years ago
- Python Code for Quantitative Finance Papers☆40Updated 5 months ago
- CS7641 Team project☆93Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- Quant Research☆69Updated this week
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 6 months ago
- We implement the paper: Deep Learning Volatility☆185Updated 4 years ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆63Updated 3 years ago