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
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆46Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- ☆35Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- ☆21Updated 5 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆44Updated 2 weeks ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆38Updated 2 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 …☆36Updated last year
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years 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…☆18Updated last year
- Algorithmic multi-greek hedges using Python☆19Updated 4 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆55Updated 8 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
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 2 months ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆25Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago