Dagalon / PyStochasticVolatility
This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computing option price under SV.
☆96Updated 2 months ago
Alternatives and similar repositories for PyStochasticVolatility:
Users that are interested in PyStochasticVolatility are comparing it to the libraries listed below
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated 2 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆60Updated last week
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆52Updated 2 years ago
- Quant Research☆69Updated last week
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆107Updated 5 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆180Updated 4 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- Python Code for Quantitative Finance Papers☆39Updated 5 months ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆185Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆41Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆96Updated 3 weeks ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆73Updated 3 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆38Updated 9 months ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆63Updated 2 months ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆110Updated 2 weeks ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- ☆50Updated 7 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆24Updated 3 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆202Updated last month
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- volatility arbitrage in Heston model☆43Updated 2 months ago