A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method
☆29May 22, 2020Updated 5 years ago
Alternatives and similar repositories for hdp
Users that are interested in hdp are comparing it to the libraries listed below
Sorting:
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Mar 8, 2018Updated 7 years ago
- Library for stochastic process simulation☆14May 22, 2023Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated last week
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- Quant finance scripts☆15Apr 13, 2025Updated 10 months 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
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Options Pricing using Finite Difference Methods☆16May 24, 2017Updated 8 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆20Aug 20, 2024Updated last year
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 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
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 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
- Python and Cython scripts of machine learning, econometrics and statistical tools designed for finance.☆23May 13, 2024Updated last year
- ☆10Mar 16, 2022Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Pricing Asian options using finite difference schemes in Python☆11Jun 20, 2025Updated 8 months ago
- Finance 6470: Derivatives Markets☆10Apr 15, 2021Updated 4 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆120Apr 5, 2019Updated 6 years ago