BrianNingUT / ArbFreeIV-VAE
Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
☆28Updated last year
Related projects ⓘ
Alternatives and complementary repositories for ArbFreeIV-VAE
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆22Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- This repo is for my articles published on Medium.com☆15Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- ☆14Updated 3 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆17Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆19Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Basic Limit Order Book functions☆20Updated 6 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 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
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- ☆22Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago