antdvid / FastAmericanOptionPricingLinks
Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
☆51Updated 5 years ago
Alternatives and similar repositories for FastAmericanOptionPricing
Users that are interested in FastAmericanOptionPricing are comparing it to the libraries listed below
Sorting:
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- ☆52Updated 8 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆122Updated last month
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆98Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆133Updated 7 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 weeks ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- ☆49Updated 7 years ago
- SOFR curve bootstrapping☆27Updated 5 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆101Updated 3 years ago