amuguruza / NN-StochVol-CalibrationsLinks
We implement the paper: Deep Learning Volatility
☆195Updated 5 years ago
Alternatives and similar repositories for NN-StochVol-Calibrations
Users that are interested in NN-StochVol-Calibrations are comparing it to the libraries listed below
Sorting:
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆200Updated 9 months ago
- A Python implementation of the rough Bergomi model.☆124Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆175Updated last week
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆89Updated 6 months ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Deep Learning Statistical Arbitrage☆240Updated 2 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆84Updated 3 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- ☆52Updated 8 years ago
- Instrumented Principal Components Analysis☆234Updated 3 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆113Updated 6 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆240Updated 7 months ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆99Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆96Updated 8 months ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆166Updated last week
- ☆50Updated 5 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆255Updated 2 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆214Updated 4 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆265Updated 3 weeks ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆189Updated last year