This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computing option price under SV.
☆15May 23, 2022Updated 3 years ago
Alternatives and similar repositories for PyStochasticVolatility
Users that are interested in PyStochasticVolatility are comparing it to the libraries listed below
Sorting:
- ☆260Mar 1, 2024Updated 2 years ago
- Here you will find materials for the course of Computational Finance☆489Mar 1, 2024Updated 2 years ago
- Quantitative Finance book☆853Apr 14, 2025Updated 11 months ago
- Codes to replicate analysis in Baker & Gelbach (2020)☆11Apr 25, 2020Updated 5 years ago
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆24May 29, 2024Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆53Aug 23, 2024Updated last year
- Measuring the Market Risk Premium☆18Jun 6, 2022Updated 3 years ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆49Oct 29, 2025Updated 4 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆67Jul 17, 2022Updated 3 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆13Jun 28, 2019Updated 6 years ago
- This repository provides a Python Notebook and resources for calibrating the parameters of the Heston model using observed Call Option pr…☆12Sep 17, 2024Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆47Nov 2, 2023Updated 2 years ago
- ☆25Jul 31, 2025Updated 7 months ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Mar 23, 2020Updated 5 years ago
- MAPA package for R☆15Nov 16, 2023Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆38Aug 4, 2021Updated 4 years ago
- ☆47Nov 8, 2023Updated 2 years ago
- ☆19Updated this week
- A curated list of Vector Autoregression resources☆63Jun 20, 2023Updated 2 years ago
- ☆10Jun 22, 2025Updated 8 months ago
- A series of Jupyter notebooks that walk you through the fundamentals of Machine Learning and Deep Learning in python using Scikit-Learn a…☆10Jun 8, 2019Updated 6 years ago
- Cosmic Insights: Statistical Frameworks for Astronomers in R☆13Feb 22, 2025Updated last year
- Machine learning simulation for security prices.☆20Aug 10, 2017Updated 8 years ago
- ☆15Aug 14, 2016Updated 9 years ago
- Multi-disciplinary Design Project with Arduino & Raspberry Pi - 2014 Spring☆20Jan 2, 2015Updated 11 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆58Jan 5, 2023Updated 3 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆128Oct 11, 2025Updated 5 months ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- A blockchain-agnostic coinselection library built in rust.☆11Feb 16, 2025Updated last year
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- Efficient stochastic gradient descent algorithms for the estimation of generalized matrix factorization models in R.☆12Dec 15, 2025Updated 3 months ago
- Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,exte…☆37Apr 27, 2019Updated 6 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆137Feb 27, 2025Updated last year
- Gathers machine learning and deep learning models for Stock forecasting including trading bots and simulations☆10Apr 18, 2022Updated 3 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Mar 23, 2019Updated 6 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 3 months ago
- A library for lattice-based multiparty homomorphic encryption in Go☆14Dec 20, 2024Updated last year
- Quantile-based Spectral Analysis of Time Series☆12Jul 10, 2024Updated last year