RoughStochVol / rBergomi
C++ implementation of rBergomi model
☆24Updated 6 years ago
Alternatives and similar repositories for rBergomi:
Users that are interested in rBergomi are comparing it to the libraries listed below
- A Python implementation of the rough Bergomi model.☆119Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆118Updated last year
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- Surface SVI parameterisation and corresponding local volatility☆46Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆158Updated 3 weeks ago
- ☆19Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Python repository with various projects in Machine Learning and Finance☆12Updated last month
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated 11 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆98Updated 3 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated 2 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- ☆63Updated this week
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- ☆41Updated 10 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆41Updated 3 years ago
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆18Updated last year
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆68Updated 3 months ago
- Large Deviations for volatility options☆13Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Python Code for Quantitative Finance Papers☆39Updated 7 months ago