Alternatives and similar repositories for MTH9894_Systematic_Trading-1:

Users that are interested in MTH9894_Systematic_Trading-1 are comparing it to the libraries listed below

• echalkpad / MTH9894-Algo-Trading
  Baruch MFE MTH9894
  ☆12Updated 7 years ago
• yc-liu / mth9814
  baruch mfe mth9814 financial instruments
  ☆12Updated 6 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …
  ☆10Updated 2 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆12Updated 6 years ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆12Updated 7 years ago
• am3p / python
  ☆7Updated 8 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 2 years ago
• dpicone1 / LiborMarketModel
  Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option
  ☆11Updated 4 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆13Updated 9 months ago
• Sarabmonga07 / Kernel-Smoothing-Technique-for-Option-Derivatives-
  Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …
  ☆11Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• yuba316 / SABR_Volatility_Arbitrage
  A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
  ☆23Updated 2 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆23Updated 4 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆12Updated 3 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆21Updated 4 years ago
• QuantMaverick / options_SABR_model
  This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…
  ☆16Updated 6 years ago
• frankstack / CQF
  Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.
  ☆16Updated last year
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆22Updated 4 years ago
• fdallac / autocallable-simu
  Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark
  ☆15Updated 5 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆16Updated 2 years ago
• pengxin123 / mth-9879
  Baruch course - Market Microstructure
  ☆12Updated 9 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• FranklinMa810 / Market-Microstructure
  ☆21Updated 5 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated 2 weeks ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆26Updated 4 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago