Alternatives and similar repositories for small-time_asymptotics_fractional

Users that are interested in small-time_asymptotics_fractional are comparing it to the libraries listed below

• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 7 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆15Updated 3 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆23Updated 5 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆13Updated 4 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• BlackArbsCEO / hypothesis_driven_strategy_development
  ☆12Updated 2 years ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• sebjai / Portfolio-Wasserstein-Ball
  Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…
  ☆14Updated 2 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆15Updated 11 months ago
• Herrsosa / Volatility-and-the-Equity-Risk-Premium
  ☆14Updated 6 years ago
• chrischia06 / Mean-Variance-Hedging
  Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈
  ☆16Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• silvialava / Deep_quadratic_hedging
  ☆12Updated 2 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 5 months ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆13Updated 6 years ago
• yuba316 / SABR_Volatility_Arbitrage
  A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
  ☆25Updated 2 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated 2 months ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 years ago
• Sarabmonga07 / Kernel-Smoothing-Technique-for-Option-Derivatives-
  Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …
  ☆11Updated 4 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• egorrazzhivin / HFT-Market-Making
  Market making strategies and scientific papers
  ☆13Updated 2 years ago
• shuangology / Machine-Learning-for-Asset-Managers
  Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.
  ☆16Updated 5 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• kartikay94 / Selecting-stock-pairs-for-pairs-trading-while-incorporating-lead-lag-relationship
  ☆19Updated 5 years ago