Jmaihuire / MTH9875_Volatility_Surface
This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
☆21Updated 7 years ago
Alternatives and similar repositories for MTH9875_Volatility_Surface
Users that are interested in MTH9875_Volatility_Surface are comparing it to the libraries listed below
Sorting:
- Baruch MFE MTH9894☆12Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated last year
- ☆7Updated 9 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Baruch MFE 2019 Spring☆40Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆13Updated 5 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Prices an FX option and creates a volatility surface.☆8Updated 7 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 2 years ago
- Baruch MFE program quant lab☆26Updated 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 2 years ago
- Volatility is Rough☆9Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆46Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 5 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- SOFR curve bootstrapping☆25Updated 4 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆22Updated 5 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated 2 months ago