Henry990826 / optionLearnLinks
This repository documents my notes on options learning, covering options basics, strategy development and literature I hope it can help you!
☆18Updated last year
Alternatives and similar repositories for optionLearn
Users that are interested in optionLearn are comparing it to the libraries listed below
Sorting:
- ☆54Updated 8 years ago
- This repository hosts my reading notes for academic papers.☆97Updated 4 years ago
- High frequency factors based on order and trade data.☆70Updated 2 years ago
- Solutions to Active Portfolio Management (Second Edition) by Grinold and Kahn☆110Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆95Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- This will include all the lecture slides, exercise papers, and data sheets used in Certificate in Quantitative Finance for the June 2020 …☆32Updated 5 years ago
- Calibration and Simulation Engine for Local Volatility Models☆14Updated 4 years ago
- Surface SVI parameterisation and corresponding local volatility☆58Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Implemented some mathematical processings used in the Barra risk model☆37Updated 2 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆101Updated 3 weeks ago
- We implement the paper: Deep Learning Volatility☆203Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 7 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆204Updated this week
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆216Updated last year
- snowball option pricing, Monte Carlo, PDE, Greeks☆10Updated 2 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆119Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Updated 3 months ago
- Python Code for Quantitative Finance Papers☆46Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Implementation of 5-factor Fama French Model☆138Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Baruch MFE MTH9894☆13Updated 8 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆55Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆107Updated 11 months ago