aidinattar / Volatility-carry-trading-strategy
Modelling the implicit volatility, using multi-factor statistical models.
☆12Updated 6 months ago
Alternatives and similar repositories for Volatility-carry-trading-strategy:
Users that are interested in Volatility-carry-trading-strategy are comparing it to the libraries listed below
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Market making strategies and scientific papers☆13Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆19Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- ☆17Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆13Updated last year
- ☆24Updated this week
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago
- Risk-neutral density-density based option pricing☆8Updated 9 years ago
- Collection of Models related to market making☆15Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆24Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 4 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Delta hedging under SABR model☆21Updated 8 months ago
- 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
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆50Updated 4 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago