LongOnly / Option-Pricing-under-Uncertainty
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
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- ☆24Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 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 11 months ago
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆19Updated last year
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- ☆37Updated 2 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆26Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆41Updated this week
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- Time Series Prediction of Volume in LOB☆57Updated 11 months ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆71Updated 4 years ago
- ☆35Updated 7 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 5 years ago
- ☆21Updated 5 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol☆10Updated 4 years ago