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.
☆16Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for Exotics_Pricing
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- Options Pricing using Finite Difference Methods☆14Updated 7 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
- Monte Carlo option pricing algorithms for vanilla and exotic options☆23Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆28Updated 5 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
- Deep Reinforcement Learning Framework for Factor Investing☆21Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆60Updated 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 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆26Updated 4 years ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- SOFR curve bootstrapping☆21Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 4 years ago
- ☆24Updated 6 years ago
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆22Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆25Updated 3 years ago
- Python code for pricing exotic options, such as Asian options, Barrier options and Look-back options using Monte Carlo methods.☆26Updated 5 years ago
- ☆7Updated 8 years ago
- ☆15Updated 6 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
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- Design your own Trading Strategy☆35Updated 8 months ago