Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publication/235622441_Managing_Smile_Risk
☆12Jun 28, 2019Updated 7 years ago
Alternatives and similar repositories for SABR-calibration
Users that are interested in SABR-calibration are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 6 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- Simple Moving Average system backtest☆11May 8, 2021Updated 5 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ORC wing model calibrator and simulator.☆19Jun 16, 2024Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆85May 13, 2020Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- ☆53Jun 21, 2017Updated 9 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆16May 23, 2022Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- TVP VAR Workshop☆13Feb 26, 2020Updated 6 years ago
- VBA application for finance, portfolio and trading☆17Dec 26, 2020Updated 5 years ago
- snowball option pricing, Monte Carlo, PDE, Greeks☆10Apr 28, 2023Updated 3 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- SABR model Python implementation☆635Apr 21, 2022Updated 4 years ago
- SABR stochastic volatility model: calibration, implied-volatility surfaces and conditional Monte Carlo (MSc thesis, BSE)☆10Sep 27, 2026Updated last month
- 私募基金多因子选股策略以及预期股息率策略☆10Apr 16, 2019Updated 7 years ago
- A collection of basic auxiliary classes and modules to complement VBA.☆14Oct 5, 2022Updated 4 years ago
- Heath–Jarrow–Morton model☆14Feb 22, 2021Updated 5 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Nov 17, 2019Updated 6 years ago
- Use market data to analyze options including computing implied volatity, verifying put-call parity and volatility smile, calculating Gree…☆10Jan 3, 2021Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- Example application of the Soundworks framework (collective performance inspired by Brian Eno's Bloom application)☆15Jul 13, 2021Updated 5 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Jul 10, 2021Updated 5 years ago
- option volatility trading strategy☆12Apr 3, 2018Updated 8 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Excel VBA Code - Tested Examples☆15Dec 31, 2024Updated last year
- 致力于多因子，AI策略，可盈利模型的研究☆12Apr 14, 2023Updated 3 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆11Jun 5, 2022Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Sep 12, 2026Updated last month
- Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol☆16Feb 17, 2021Updated 5 years ago
- Nonlinear Granger causality inference with neural networks for high-resolution mass spectrometry☆14Oct 31, 2021Updated 5 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Simulation of Stock Data Using Recurrent GAN☆18Sep 2, 2021Updated 5 years ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆12May 12, 2020Updated 6 years ago
- std dev of log prices☆10Sep 7, 2023Updated 3 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 4 years ago
- This repository provides a Python Notebook and resources for calibrating the parameters of the Heston model using observed Call Option pr…☆12Sep 17, 2024Updated 2 years ago
- Open economics and finance models with typed inputs, verified outputs and reproducible results. 1.0 in development; 0.2.x on legacy/0.2.x…☆11Updated this week
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 7 years ago
Are these results useful?