Imlerith / Jump-Diffusion-CalibratorLinks
Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)
☆40Updated 4 years ago
Alternatives and similar repositories for Jump-Diffusion-Calibrator
Users that are interested in Jump-Diffusion-Calibrator are comparing it to the libraries listed below
Sorting:
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆30Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆84Updated 3 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 3 years ago
- ☆19Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- ☆50Updated 5 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
- Baruch MFE program quant lab☆29Updated 7 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago