arraystream / fftoptionlib
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
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆106Updated 5 years ago
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆84Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- ☆49Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆128Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- By means of stochastic volatility models☆43Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆153Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆116Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆39Updated 4 years ago
- ☆45Updated 4 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆95Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Compute VIX and related volatility indices☆104Updated 2 months ago
- We implement the paper: Deep Learning Volatility☆181Updated 4 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆179Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 3 years ago
- High Frequency Trading☆107Updated 6 years ago
- Deep Neural Networks for Options Pricing (Python)☆44Updated 6 years ago