Zhenfeng-Liang / FX_Modeling_N_Market_MakingLinks
☆11Updated 9 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
Sorting:
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆25Updated 9 years ago
- Market making strategies and scientific papers☆13Updated last year
- 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
- Calibration of a Surface SVI☆13Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Baruch MFE MTH9894☆12Updated 8 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- Package to build risk model for factor pricing model☆26Updated 10 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- ☆23Updated 5 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- ☆12Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Optimal high-frequency market making strategy☆21Updated 6 months ago
- ☆33Updated 3 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- ☆7Updated 9 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- ☆17Updated 3 years ago
- Baruch course - Market Microstructure☆13Updated 9 years ago
- ☆14Updated 6 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago