☆11Dec 18, 2015Updated 10 years ago
Alternatives and similar repositories for FX_Modeling_N_Market_Making
Users that are interested in FX_Modeling_N_Market_Making are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- Kalman Filter, Smoother, and EM Algorithm for Python☆12Sep 4, 2023Updated 2 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the …☆33Dec 14, 2025Updated 3 months ago
- AlgoSE引擎C++开发包☆12Jul 5, 2018Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Economic models and things in Pytorch☆22Nov 30, 2017Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensiti…☆11Jul 5, 2023Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 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
- ☆10Mar 16, 2022Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆28Jul 6, 2023Updated 2 years ago
- Baruch MFE 2019 Spring☆44May 29, 2020Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Example for Interest Rate Modelling Lecture☆14Mar 29, 2025Updated 11 months ago
- Phd repo☆18Jul 14, 2022Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Quant finance scripts☆15Apr 13, 2025Updated 11 months ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Baruch MFE program quant lab☆31May 29, 2018Updated 7 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- ☆38Aug 2, 2021Updated 4 years ago
- Option Volatility and Pricing Models.☆13Feb 24, 2025Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆23Feb 2, 2025Updated last year
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- A study of the Glosten and Milgrom model for market making☆14Nov 4, 2015Updated 10 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16May 2, 2019Updated 6 years ago
- A collection of homeworks of market microstructure models.☆281May 4, 2018Updated 7 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