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.☆121Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks 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
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆63Updated last year
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆38Updated 3 weeks ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated 3 weeks ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- ☆68Updated last month
- ☆19Updated 7 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆191Updated 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 last month
- ☆41Updated 10 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆65Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Python Code for Quantitative Finance Papers☆39Updated 9 months ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 7 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆40Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- 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…☆19Updated last year
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 5 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 5 years ago