Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
☆16Feb 26, 2020Updated 6 years ago
Alternatives and similar repositories for Machine-Learning---Option-Pricing-Calibration-Hedging--
Users that are interested in Machine-Learning---Option-Pricing-Calibration-Hedging-- are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Sep 12, 2026Updated last month
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 5 years ago
- ☆25Mar 23, 2025Updated last year
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆25Jun 24, 2022Updated 4 years ago
- Baruch MFE MTH9894☆14Jun 4, 2017Updated 9 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆15Feb 2, 2023Updated 3 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆12Dec 13, 2022Updated 3 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Baruch MFE 2019 Spring☆48May 29, 2020Updated 6 years ago
- ☆22Jun 20, 2018Updated 8 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 8 years ago
- Reinforcement Learning in Options Hedging: A Deep-Deterministic-Policy-Gradient-based Dynamic Hedging Strategy☆12Jan 13, 2023Updated 3 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆17May 26, 2017Updated 9 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆20Jun 10, 2022Updated 4 years ago
- 私募基金多因子选股策略以及预期股息率策略☆10Apr 16, 2019Updated 7 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- High performance hybrid Monte Carlo simulation☆10Sep 21, 2026Updated last month
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the impl…☆28Nov 23, 2023Updated 2 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆16Oct 15, 2021Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Jul 10, 2021Updated 5 years ago
- A commodity quant library☆12Jun 30, 2025Updated last year
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- option volatility trading strategy☆12Apr 3, 2018Updated 8 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- ☆16Jul 17, 2020Updated 6 years ago
- Q-quant和因子投资实证汇总☆24Jul 5, 2021Updated 5 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- 雪球结构产品定价☆29Sep 25, 2023Updated 3 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- Pricing and calibration models☆13Mar 28, 2025Updated last year
- ☆25Apr 1, 2022Updated 4 years ago
- ☆10Aug 9, 2022Updated 4 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Jul 7, 2021Updated 5 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 6 years ago