arraystream / fftoptionlibLinks
FFT-based Option Pricing Methods in Python
☆59Updated 6 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☆113Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆159Updated 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
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- We implement the paper: Deep Learning Volatility☆191Updated 5 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆63Updated last year
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆132Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A python program to implement the discrete binomial option pricing model☆83Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆98Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- ☆51Updated 8 years ago
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆127Updated 2 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆123Updated 3 years ago
- ☆149Updated 5 years ago