PavanAnanthSharma / Dynamic-Delta-Hedging
Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments include spot, forward, and futures contracts. DDH helps traders manage the Delta or Gamma of a portfolio without monitoring it
☆13Updated last year
Alternatives and similar repositories for Dynamic-Delta-Hedging:
Users that are interested in Dynamic-Delta-Hedging are comparing it to the libraries listed below
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆28Updated 3 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- ☆21Updated 5 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 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
- Dispersion Trading using Options☆32Updated 8 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- Dynamic portfolio optimization☆22Updated last year
- Optimal high-frequency market making strategy☆21Updated 5 months ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 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
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- System for Using Random Forest Models to Predict S&P 500 Volatility - The Quant's Playbook @ Substack☆10Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- ☆49Updated 4 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years 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
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆33Updated 3 years ago
- ☆47Updated 3 months ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago