Iangao25 / comparison-between-GARCH-type-modelsLinks
The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of different GARCH-type models, including GARCH, EGARCH, TGARCH and GJRGARCH, when forecasting implied volatility.
☆10Updated 6 years ago
Alternatives and similar repositories for comparison-between-GARCH-type-models
Users that are interested in comparison-between-GARCH-type-models are comparing it to the libraries listed below
Sorting:
- Calibration and pricing options in Heston model☆13Updated 7 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…☆13Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- ☆11Updated last year
- ☆24Updated 4 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- ☆16Updated 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
- ☆16Updated 5 years ago
- Volatility is Rough☆9Updated 2 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆16Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- ☆35Updated last year
- Calibration of a Surface SVI☆13Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- Repository attached to the paper with the same name.☆21Updated 4 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
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Reinforcement Learning in Finance☆15Updated 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 6 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- quantitative asset allocation strategy☆29Updated 6 months ago