BrianNingUT / ArbFreeIV-VAE
Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
☆28Updated last year
Alternatives and similar repositories for ArbFreeIV-VAE:
Users that are interested in ArbFreeIV-VAE are comparing it to the libraries listed below
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- ☆35Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆55Updated this week
- ☆14Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- ☆21Updated 5 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated 2 weeks ago
- ☆32Updated 8 months ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 4 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
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆39Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated last year
- Basic Limit Order Book functions☆21Updated 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
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago