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
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☆74Mar 22, 2024Updated last year
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- implementation of the two-factor quintic OU model☆12Mar 19, 2025Updated 11 months ago
- 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
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆57Jan 5, 2023Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- Modeling of intraday volatility and volume in financial markets☆17May 29, 2023Updated 2 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆38Jul 5, 2023Updated 2 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- ☆17Nov 17, 2021Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆125Jan 10, 2024Updated 2 years ago
- dateroll makes working with 📅 dates less painful.☆12Apr 17, 2025Updated 10 months ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 7 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…☆64Feb 21, 2026Updated last week
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Economic models and things in Pytorch☆22Nov 30, 2017Updated 8 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Jul 17, 2022Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆140Sep 17, 2018Updated 7 years ago
- Baruch MFE 2019 Spring☆44May 29, 2020Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 6 months ago