Python implementation of Fourier Transform pricing methods for the European call option, including the Fast-Fourier transform method described in Carr and Madan 1999.
☆19Apr 1, 2021Updated 4 years ago
Alternatives and similar repositories for OptionFFT
Users that are interested in OptionFFT are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- Implementation of Bayesian PCA [Bishop][1999] And Bayesian Kernel PCA☆13Jan 13, 2021Updated 5 years ago
- Enhanced Portfolio Optimization (EPO)☆17Mar 5, 2024Updated 2 years ago
- A Rust library for the Hyperliquid API☆25Sep 19, 2024Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21May 8, 2024Updated last year
- ☆15Dec 8, 2022Updated 3 years ago
- ☆11Dec 24, 2017Updated 8 years ago
- The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the …☆33Dec 14, 2025Updated 3 months ago
- Pairs Trading using Co-integrated Cryptocurrency Pairs☆26May 22, 2020Updated 5 years ago
- Machine Learning Algo using Knearest Neighbors model on VXX trading strategy.☆15Mar 6, 2016Updated 10 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆139Feb 27, 2025Updated last year
- Time Series Forecasting with Temporal Fusion Transformer in Pytorch☆12Dec 8, 2021Updated 4 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆21Apr 29, 2020Updated 5 years ago
- ☆27Oct 11, 2023Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 4 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 5 years ago
- python-trading☆14Jan 1, 2019Updated 7 years ago
- Package to build risk model for factor pricing model☆28Jul 26, 2024Updated last year
- ☆32Updated this week
- ☆39Nov 18, 2024Updated last year
- Python Routines for retrieving up-to-date forecasts from the National Weather Service (NWS) National Digital Forecasting Database (NDFD)☆18Oct 22, 2018Updated 7 years ago
- Code used to generate the results for the publication 'divide-and-conquer state preparation (2020)'☆12Feb 6, 2021Updated 5 years ago
- A pure Python and Numpy implementation of an LSTM Network☆14Mar 2, 2017Updated 9 years ago
- Python lib to communicate with Sterling Trader Pro API☆21Jan 18, 2019Updated 7 years ago
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Sep 16, 2019Updated 6 years ago
- Code for studying primordial black hole (PBH) binaries, clothed in dark matter (DM) halos, associated with the paper "Black Holes' Dark D…☆12Jun 5, 2018Updated 7 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- ☆14Mar 15, 2026Updated last week
- enable rapid iteration and development of complex data pipelines☆30Mar 9, 2025Updated last year
- A sport predictions full-stack application that generates betting recommendations & data on Prize Picks using linear regression.☆36Oct 27, 2025Updated 4 months ago
- Kalman Filter, Smoother, and EM Algorithm for Python☆12Sep 4, 2023Updated 2 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆67Updated this week
- Repo container example code for Robinhood API article for algotrading101 (Lucas Liew)☆12Jul 16, 2020Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Established Bayesian models and leveraged historical data to predict home and away teams’ performance. Achieved over 80% prediction accur…☆21Feb 12, 2020Updated 6 years ago
- Baruch MFE 2019 Spring☆44May 29, 2020Updated 5 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- Derivatives pricing in modern C++.☆18Aug 22, 2022Updated 3 years ago
- Fixed-Income-Quant-Trading Projects☆15Jul 21, 2018Updated 7 years ago