RoughStochVol / rBergomiLinks
C++ implementation of rBergomi model
☆24Updated 7 years ago
Alternatives and similar repositories for rBergomi
Users that are interested in rBergomi are comparing it to the libraries listed below
Sorting:
- A Python implementation of the rough Bergomi model.☆125Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 2 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆176Updated 2 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆90Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆195Updated 5 years ago
- ☆41Updated 10 years ago
- QuantMinds Rough Volatility Workshop lectures☆48Updated 2 weeks ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆41Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 10 months ago
- ☆52Updated 8 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆241Updated 7 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Python Code for Quantitative Finance Papers☆40Updated 11 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆200Updated 10 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆118Updated 6 months ago
- ☆67Updated 3 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆276Updated this week