Quintus-Zhang / Ferret
Options Pricing using Finite Difference Methods
☆14Updated 7 years ago
Related projects ⓘ
Alternatives and complementary repositories for Ferret
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆10Updated 6 months ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- ☆7Updated 8 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆19Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Volatility is Rough☆9Updated 2 years ago
- Use the Finite Difference method to price European, American and Bermudan options.☆20Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 4 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- ☆15Updated 6 years ago
- ☆46Updated 7 years ago
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆11Updated 9 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆102Updated 5 years ago
- SOFR curve bootstrapping☆21Updated 4 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆19Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- ☆16Updated 8 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆16Updated last year
- Get discount factors and zero rates from interest rate swaps☆9Updated 6 years ago
- This is some work on option prcing and greeks calculation for dynamic hedge. These functions are numerical pricing methods employed to re…☆16Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆81Updated 5 years ago