arraystream / fftoptionlibLinks
FFT-based Option Pricing Methods in Python
☆59Updated 7 years ago
Alternatives and similar repositories for fftoptionlib
Users that are interested in fftoptionlib 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☆116Updated 6 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆201Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- ☆52Updated 8 years ago
- A Python implementation of the rough Bergomi model.☆133Updated 7 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year
- ☆50Updated 5 years ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆124Updated last month
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 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
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆204Updated last year
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆80Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆53Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 7 years ago
- ☆152Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆247Updated last year
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆168Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago