blakeheimann2 / DynamicDeltaHedgeLinks
Options Dynamic Delta Hedge Simulation
☆14Updated 4 years ago
Alternatives and similar repositories for DynamicDeltaHedge
Users that are interested in DynamicDeltaHedge are comparing it to the libraries listed below
Sorting:
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆72Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- ☆52Updated 8 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Delta hedging under SABR model☆34Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆99Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆172Updated last week
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆47Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 months ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆86Updated 2 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆30Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- AI based alpha research for trading☆49Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year