blakeheimann2 / DynamicDeltaHedge
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
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆50Updated 3 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆39Updated 4 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆84Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆58Updated 11 months ago
- ☆50Updated 7 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- ☆24Updated 6 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品，唯有读书高 。🚩🇨🇳🏹🦔中科红旗，…☆45Updated 9 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- ☆42Updated 5 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations☆29Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆106Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 9 months ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆24Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆11Updated 9 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- CS7641 Team project☆93Updated 4 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago