Imlerith / Jump-Diffusion-CalibratorLinks
Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)
☆42Updated 5 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:
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- SABR Implied volatility asymptotics☆24Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆54Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆58Updated 6 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- ☆37Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- ☆50Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago