Herrsosa / Volatility-and-the-Equity-Risk-PremiumLinks
☆14Updated 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:
- 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 5 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 3 months ago
- SABR Implied volatility asymptotics☆24Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- ☆26Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- Option Strategy for Futures☆16Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- ☆12Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆16Updated 3 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Updated 5 years ago
- ☆19Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆24Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆32Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago