Robin-Guilliou / Option-PricingLinks
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
☆77Updated 3 years ago
Alternatives and similar repositories for Option-Pricing
Users that are interested in Option-Pricing are comparing it to the libraries listed below
Sorting:
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- CS7641 Team project☆95Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated this week
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆106Updated 3 months ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆111Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆160Updated last week
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆65Updated 10 months ago
- SVI volatility surface model and an example of China 50ETF option☆72Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- volatility arbitrage in Heston model☆50Updated 2 months ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Deep Neural Networks for Options Pricing (Python)☆47Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Delta hedging under SABR model☆32Updated last year
- ☆41Updated 2 years ago
- ☆50Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆115Updated 4 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆34Updated 5 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago