amuguruza / NN-StochVol-Calibrations
We implement the paper: Deep Learning Volatility
☆170Updated 4 years ago
Related projects: ⓘ
- A Python implementation of the rough Bergomi model.☆107Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆148Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆169Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆130Updated last month
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆86Updated this week
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆171Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆80Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆100Updated 5 years ago
- Deep Learning Statistical Arbitrage☆187Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆109Updated 8 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆76Updated this week
- Neural network local volatility with dupire formula☆71Updated 3 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆146Updated 5 years ago
- FFT-based Option Pricing Methods in Python☆58Updated 6 years ago
- Instrumented Principal Components Analysis☆197Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆41Updated 2 years ago
- ☆194Updated 6 months ago
- Use the Finite Difference method to price European, American and Bermudan options.☆20Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆114Updated 3 years ago
- A collection of homeworks of market microstructure models.☆160Updated 6 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆76Updated last month
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆324Updated 6 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆75Updated 9 months ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for f…☆121Updated this week
- Implementation of the vanilla Deep Hedging engine☆222Updated last year
- ☆11Updated 5 years ago
- Quant Research☆59Updated this week
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆70Updated 2 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆50Updated last year