attack68 / book_irds3Links
Code repository for Pricing and Trading Interest Rate Derivatives
☆92Updated 2 years ago
Alternatives and similar repositories for book_irds3
Users that are interested in book_irds3 are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆82Updated 10 months 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 to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆195Updated 7 months ago
- Quant Research☆81Updated 4 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated last month
- Predictive yield curve modeling in reduced dimensionality☆41Updated 2 years ago
- Macrosynergy Quant Research☆147Updated this week
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆235Updated 5 months ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆253Updated this week
- volatility arbitrage in Heston model☆52Updated 3 months ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆135Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year
- SOFR curve bootstrapping☆26Updated 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Quantamental finance research with python☆149Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Python Code for Quantitative Finance Papers☆39Updated 9 months ago
- ☆45Updated last year
- ☆81Updated 7 months ago
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆191Updated 5 years ago
- ☆51Updated 8 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 4 months ago