LongOnly / Option-Pricing-under-UncertaintyLinks
By means of stochastic volatility models
☆44Updated 5 years ago
Alternatives and similar repositories for Option-Pricing-under-Uncertainty
Users that are interested in Option-Pricing-under-Uncertainty are comparing it to the libraries listed below
Sorting:
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- ☆36Updated 8 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 4 years ago
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆63Updated 6 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- ☆41Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆118Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- ☆12Updated 2 years ago
- ☆25Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Different quantitative trading models research☆55Updated last year
- ☆65Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆59Updated 9 years ago