BrownianNotion / OptionFFTLinks
Python implementation of Fourier Transform pricing methods for the European call option, including the Fast-Fourier transform method described in Carr and Madan 1999.
☆18Updated 4 years ago
Alternatives and similar repositories for OptionFFT
Users that are interested in OptionFFT are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 7 years ago
- ☆44Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated 3 months ago
- Quantamental finance research with python☆153Updated 3 years ago
- ☆82Updated 3 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆121Updated 11 months ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Updated 3 years ago
- To classify trades into buyer- and seller-initiated.☆154Updated 3 years ago
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆136Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆44Updated 7 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 9 months ago
- A Python implementation of the rough Bergomi model.☆136Updated 7 years ago
- Delta hedging under SABR model☆44Updated last year