Python Code for Quantitative Finance Papers
☆47Oct 2, 2024Updated last year
Alternatives and similar repositories for PyfengForPapers
Users that are interested in PyfengForPapers are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python Financial ENGineering (PyFENG package in PyPI.org)☆179Jan 28, 2026Updated 2 months ago
- Financial Engineering in R☆13Mar 17, 2021Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆17Jul 3, 2021Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 3 weeks ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- An xVA quantitative library written in python using tensorflow☆18Mar 27, 2026Updated 2 weeks ago
- Option Volatility and Pricing Models.☆13Feb 24, 2025Updated last year
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆24Mar 6, 2025Updated last year
- Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University☆32Jan 2, 2021Updated 5 years ago
- ☆53Jun 21, 2017Updated 8 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 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
- SVI volatility surface model and an example of China 50ETF option☆83May 13, 2020Updated 5 years ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆48Nov 2, 2023Updated 2 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆142Sep 17, 2018Updated 7 years ago
- Stochastic models to price financial options☆24Dec 7, 2020Updated 5 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆21Aug 20, 2024Updated last year
- ☆11Mar 12, 2021Updated 5 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆11Aug 22, 2023Updated 2 years ago
- Volatility trading☆22Updated this week
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- ☆18Feb 13, 2022Updated 4 years ago
- Economic models and things in Pytorch☆22Nov 30, 2017Updated 8 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆218Updated this week
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆59Jan 5, 2023Updated 3 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆114Mar 25, 2020Updated 6 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- c-lasso: a Python package for constrained sparse regression and classification☆31May 5, 2021Updated 4 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆17Sep 5, 2025Updated 7 months ago
- Multivariate Markov-Switching Models Regressions Framework☆13May 14, 2020Updated 5 years ago
- C++ implementation of rBergomi model☆27Jul 4, 2018Updated 7 years ago
- Code for the paper Volatility is (mostly) path-dependent☆75Mar 22, 2024Updated 2 years ago
- ☆25May 1, 2025Updated 11 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆130Oct 11, 2025Updated 5 months ago