IgnacioAnguita / C-Design-Patterns-and-Derivatives-Pricing-recoded
A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python
☆10Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for C-Design-Patterns-and-Derivatives-Pricing-recoded
- An xVA quantitative library written in python using tensorflow☆15Updated 5 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- This repository offers a curated collection of research papers and code examples covering advanced trading strategies and financial engin…☆19Updated 3 months ago
- This repo is for my articles published on Medium.com☆15Updated last year
- By means of stochastic volatility models☆41Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Library for simulation and analysis of vanilla and exotic options☆30Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 6 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Basic Limit Order Book functions☆20Updated 6 years ago
- Implementation of ISDA SIMM v2.3~2.6☆19Updated 10 months ago
- ☆17Updated 4 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆16Updated last year
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆13Updated 3 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 3 years ago
- ☆19Updated last week
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆11Updated 3 years ago
- ☆15Updated 4 years ago
- ☆15Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- ☆11Updated 5 years ago
- Hawkes with Latency☆18Updated 3 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago