Implements Path Shadowing Monte Carlo (PSMC).
☆87Dec 19, 2024Updated last year
Alternatives and similar repositories for shadowing
Users that are interested in shadowing are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Scattering Spectra used for the analysis and generation of time-series☆41Dec 19, 2024Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆75Mar 22, 2024Updated 2 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆15Dec 2, 2023Updated 2 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Modeling of intraday volatility and volume in financial markets☆17May 29, 2023Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- implementation of the two-factor quintic OU model☆12Mar 19, 2025Updated last year
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆58Jan 5, 2023Updated 3 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated last year
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- dateroll makes working with 📅 dates less painful.☆12Apr 17, 2025Updated 11 months ago
- ☆16Jul 17, 2020Updated 5 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆22Sep 24, 2023Updated 2 years ago
- QuantMinds Rough Volatility Workshop lectures☆71Sep 6, 2025Updated 6 months ago
- Project to model the trading of energy to different markets using various power plant models☆16Mar 24, 2022Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆37Jul 5, 2023Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆126Jan 10, 2024Updated 2 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Machine Learning Trading Toolkit☆40Jun 27, 2025Updated 8 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 5 years ago
- ☆56Apr 10, 2021Updated 4 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Jun 28, 2020Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆63Feb 21, 2026Updated last month
- ☆11Dec 18, 2015Updated 10 years ago
- Implementation of the ICLR 2022 paper "Phase Collapse in Neural Networks."☆10Mar 21, 2022Updated 4 years ago
- Method for systematically selecting strikes and managing risk of an SPX-based volatility premium capture strategy. Created by Quant Galor…☆14Apr 5, 2023Updated 2 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆28Aug 26, 2024Updated last year