Herrsosa / Volatility-and-the-Equity-Risk-Premium
☆13Updated 6 years ago
Alternatives and similar repositories for Volatility-and-the-Equity-Risk-Premium
Users that are interested in Volatility-and-the-Equity-Risk-Premium are comparing it to the libraries listed below
Sorting:
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆12Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Calibration of a Surface SVI☆12Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 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
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- ☆19Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Basic Limit Order Book functions☆21Updated 7 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
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 7 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Hedge long only portfolio using structural entropy☆15Updated 2 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago