ChaselChang / Exotics_Pricing
This is some work on option prcing and greeks calculation for dynamic hedge. These functions are numerical pricing methods employed to review and validate the closed-form formulae and models used in dynamic hedging system.
☆17Updated 4 years ago
Alternatives and similar repositories for Exotics_Pricing
Users that are interested in Exotics_Pricing are comparing it to the libraries listed below
Sorting:
- Library for simulation and analysis of vanilla and exotic options☆33Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- ☆17Updated 7 years ago
- ☆24Updated 6 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Options Pricing using Finite Difference Methods☆14Updated 7 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- ☆21Updated 5 years ago
- Fama-French models, idiosyncratic volatility, event study☆32Updated 2 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆11Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A constant proportion portfolio insurance (CPPI) trading algorithm on top of Alpaca's Trading API.☆13Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 9 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆25Updated last year
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆21Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆52Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- ☆18Updated 8 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆26Updated 4 years ago