W-J-Trenberth / SABR-calibrationLinks
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
☆11Updated 6 years ago
Alternatives and similar repositories for SABR-calibration
Users that are interested in SABR-calibration are comparing it to the libraries listed below
Sorting:
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- ☆52Updated 8 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆176Updated last month
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆114Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆100Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 4 months ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆101Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆165Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- ☆65Updated 2 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- ☆25Updated 7 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated last week
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Macrosynergy Quant Research☆156Updated this week
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated last year
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Quantamental finance research with python☆153Updated 3 years ago