LouisSugunasabesan / Volatility-Modelling-Using-HiddenMarkovModelsLinks
Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol
☆15Updated 4 years ago
Alternatives and similar repositories for Volatility-Modelling-Using-HiddenMarkovModels
Users that are interested in Volatility-Modelling-Using-HiddenMarkovModels are comparing it to the libraries listed below
Sorting:
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 7 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
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Updated this week
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Delta hedging under SABR model☆44Updated last year
- CS7641 Team project☆97Updated 5 years ago
- quantitative asset allocation strategy☆35Updated 11 months ago
- ☆65Updated 2 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16Updated 8 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- Research Repo (Archive)☆74Updated 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
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ☆25Updated 7 years ago