The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the implied risk-neutral probability density function from observed option prices
☆25Nov 23, 2023Updated 2 years ago
Alternatives and similar repositories for Breeden-Litzenberger-formula-for-risk-neutral-densities
Users that are interested in Breeden-Litzenberger-formula-for-risk-neutral-densities are comparing it to the libraries listed below
Sorting:
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆16Nov 24, 2023Updated 2 years ago
- ☆14Sep 16, 2022Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Systematic Volatility Research and Backtesting for equity options☆20Updated this week
- Copula fitting in Python.☆13Dec 4, 2023Updated 2 years ago
- An interactive financial calculator that shows retirement growth over time.☆13Apr 14, 2021Updated 4 years ago
- Sparse Matrix Factorization (SMF) is a key component in many machine learning problems and there exist a verity a applications in real-w…☆11Jan 25, 2016Updated 10 years ago
- Course material for a workshop on loss modelling, reserving and insurance fraud analytics☆10Jun 16, 2021Updated 4 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- This repository contains a backend service for fetching VIX index futures data using the vix_index_futures.py library. The app.py script …☆14Mar 19, 2023Updated 2 years ago
- Quick exercise for utilizing Async functions and fireBase to build scalable R Shiny Apps.☆10Dec 25, 2020Updated 5 years ago
- Scripts for validating retirement plans using Monte Carlo analysis.☆11Updated this week
- Turn your brain MRI into a printable 3D model in seconds 🧠➡️🖨️☆13Jan 9, 2025Updated last year
- On-going project: I will be implementing a combination of pairs trading strategies in attempt to see which type performs best after backt…☆14Jul 20, 2024Updated last year
- Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]☆12Nov 3, 2023Updated 2 years ago
- Easily source publicly available data on derivatives☆39Jan 9, 2022Updated 4 years ago
- A python class to extract current and historical data from famous Yahoo Finance API☆12Feb 28, 2019Updated 7 years ago
- ☆12Updated this week
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- A package for performing time series classification in Weka.☆10Aug 16, 2023Updated 2 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Financial Machine Learning Repository☆11Apr 25, 2024Updated last year
- Code for my JavaScript browser-based retirement calculator http://www.abrandao.com/retire/☆11Dec 13, 2019Updated 6 years ago
- A dashboard for helping beginners identify trading opportunities through technical analysis, fundamental analysis, and possible future pr…☆12Sep 1, 2021Updated 4 years ago
- ☆12Jul 28, 2019Updated 6 years ago
- Subset simulation is a method of estimating low probability events. Here I adapt SS to perform well with correlated inputs.☆11Jan 9, 2019Updated 7 years ago
- Repository of GESIS Shiny Workshop.☆11Jun 6, 2025Updated 9 months ago
- Financial Market Building Blocks☆12Feb 1, 2022Updated 4 years ago
- A Python package for PME (Public Market Equivalent) calculation☆13Jan 16, 2026Updated last month
- A napari Plugin for visualisaton of pixel values over time (t+ nD) as graphs.☆12Apr 24, 2024Updated last year
- Sample Codes for the Course "Computations and Quantitative Models in Macro" by Alex Monge at the EUI, Florence☆11Nov 9, 2022Updated 3 years ago
- T-SNE streamlit dimensionality reduction/data visualization tutorial☆12Jun 12, 2024Updated last year
- A lightweight actuarial modelling framework for Python☆14Mar 1, 2026Updated last week
- Predicting the Short-term Direction of Futures Contracts through Machine Learning☆14Oct 15, 2024Updated last year
- A data analysis GUI for R☆11May 5, 2025Updated 10 months ago
- Track the Option chain and it graphical representation☆12Mar 15, 2023Updated 2 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Dec 17, 2025Updated 2 months ago