BrianNingUT / ArbFreeIV-VAELinks
Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
☆33Updated 2 years ago
Alternatives and similar repositories for ArbFreeIV-VAE
Users that are interested in ArbFreeIV-VAE are comparing it to the libraries listed below
Sorting:
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months 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
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 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
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 7 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- SABR Implied volatility asymptotics☆22Updated 5 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 of a Surface SVI☆13Updated 6 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol☆10Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆26Updated last week
- ☆41Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Package to build risk model for factor pricing model☆26Updated 10 months ago
- my talk for credit suisse☆38Updated this week
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago