Jace-Yang / heston-model_pricing-formulas-and-calibrationView external linksLinks
Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University
☆31Jan 2, 2021Updated 5 years ago
Alternatives and similar repositories for heston-model_pricing-formulas-and-calibration
Users that are interested in heston-model_pricing-formulas-and-calibration are comparing it to the libraries listed below
Sorting:
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Oct 10, 2020Updated 5 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Apr 15, 2022Updated 3 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 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…☆15Jul 3, 2021Updated 4 years ago
- This porject is for recording my study path in snowball option pricing and its delta hedging☆17Feb 12, 2021Updated 5 years ago
- ☆54Jun 21, 2017Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Rensselaer Polytechnic Institute's submission for the 2023 Rotman International Trading Competition☆12Feb 28, 2023Updated 2 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- ☆10Mar 16, 2022Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Oct 23, 2023Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Heath–Jarrow–Morton model☆14Feb 22, 2021Updated 4 years ago
- Calibration and Simulation Engine for Local Volatility Models☆15Dec 13, 2021Updated 4 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Robust deep hedging and Non-linear generalized affine processes☆14Mar 7, 2025Updated 11 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆89Jan 11, 2022Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- Kaggle M5 competition, ranked 292/5589 (top 5%).☆12Jul 10, 2022Updated 3 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol☆15Feb 17, 2021Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Analytical solution and calibration☆14Aug 1, 2011Updated 14 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Stochastic local volatility model calibration☆18Apr 23, 2021Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Option Volatility and Pricing Models.☆12Feb 24, 2025Updated 11 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Sep 22, 2020Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Apr 15, 2019Updated 6 years ago