☆22Jun 20, 2018Updated 7 years ago
Alternatives and similar repositories for RoughFCLT
Users that are interested in RoughFCLT are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆23May 25, 2020Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆205May 10, 2020Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆63Feb 21, 2026Updated last month
- A Python implementation of the rough Bergomi model.☆141Sep 17, 2018Updated 7 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 years ago
- Learning project by project.☆20Aug 29, 2021Updated 4 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- ☆15Jul 9, 2022Updated 3 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆26Mar 23, 2025Updated last year
- ☆12Dec 21, 2022Updated 3 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆75Mar 22, 2024Updated 2 years ago
- Example for Interest Rate Modelling Lecture☆14Mar 29, 2025Updated 11 months 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
- C++ implementation of rBergomi model☆26Jul 4, 2018Updated 7 years ago
- robotRay is a python robo trader bot for several strategies including: 1) naked puts based on a simple vega crush algo, 2) golden cross. …☆15Aug 27, 2021Updated 4 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Market making strategies and scientific papers☆14Aug 20, 2023Updated 2 years ago
- Option Strategy for Futures☆17Jul 29, 2020Updated 5 years ago
- FFT-based Option Pricing Methods in Python☆59Aug 29, 2018Updated 7 years ago
- ☆39Jun 19, 2023Updated 2 years ago
- Python repository with various projects in Machine Learning and Finance☆14Updated this week
- Statistical Methods in Finance☆16Feb 2, 2022Updated 4 years ago