TYtianyang / scbnnLinks
Implied volatility surface interpolation with shape-constrained bayesian neural network.
☆15Updated 3 years ago
Alternatives and similar repositories for scbnn
Users that are interested in scbnn are comparing it to the libraries listed below
Sorting:
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- 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
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- ☆11Updated last year
- ☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Updated 7 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆30Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- ☆18Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year