Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
☆31Aug 12, 2024Updated last year
Alternatives and similar repositories for Financial-Derivative-Analysis-and-Simulation
Users that are interested in Financial-Derivative-Analysis-and-Simulation are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Unveiling the Economics of SQL Operations☆10Apr 21, 2024Updated 2 years ago
- NeurIPS paper 'Censored Quantile Regression Neural Networks for Distribution-Free Survival Analysis'☆11Oct 28, 2022Updated 3 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆20Sep 15, 2022Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- Datasets for my research publications☆13Feb 9, 2026Updated 2 months ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Oct 21, 2018Updated 7 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆17Jul 3, 2021Updated 4 years ago
- Quantitative Risk Management Concepts☆12Sep 27, 2016Updated 9 years ago
- This project presents the application of a MS-QRNN model designed to estimate Value at Risk accurately by integrating both numerical fin…☆12May 15, 2024Updated last year
- Statistical tests for Value at Risk (VaR) Models.☆16Mar 21, 2026Updated last month
- Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method☆45Mar 4, 2021Updated 5 years ago
- Creating, training and backtesting of VaR and ES models based on Importance Sampling☆11Apr 14, 2023Updated 3 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Feb 15, 2022Updated 4 years ago
- The Python Tutorials repository is where I share insightful tutorials on data science and analytics using Python, along with helpful Pyth…☆10Mar 17, 2025Updated last year
- Unsupervised Clustering and Meta-analysis using Gaussian Mixture Copula Models☆15Nov 4, 2021Updated 4 years ago
- The first comprehensive Lean 4 formalization of statistical learning theory, featuring Gaussian Lipschitz concentration and Dudley's entr…☆74Mar 5, 2026Updated last month
- Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Market…☆23Jan 15, 2025Updated last year
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- To create a data-web application deployed using the azure app service, which was made on Streamlit, the leading Pythonic data application…☆13Apr 2, 2022Updated 4 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Order Book Imbalance trading strategy☆10Nov 21, 2022Updated 3 years ago
- Calculating carbon emissions in R☆20Aug 27, 2025Updated 8 months ago
- Script for trade arbitrage opportunities between European-style options and Perpetual futures, with notifications in telegram☆11Jun 10, 2023Updated 2 years ago
- ☆11Feb 19, 2025Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- A data visualization project to show the taxi availability in Singapore☆12Jan 30, 2017Updated 9 years ago
- WonderTrader官方提供的web控制台，服务端为wtpy提供的WtMonSvr模块☆12Sep 16, 2021Updated 4 years ago
- Implmentation of Market-GAN: Adding Control to Financial Market Data Generation with Semantic Context (AAAI24)☆17Feb 16, 2024Updated 2 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- Macro Framework Forecasting☆22Feb 2, 2026Updated 3 months ago
- Different quantitative trading models research☆54Dec 17, 2024Updated last year
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆16Jan 11, 2023Updated 3 years ago
- REndo - A R package to control for endogeneity by using internal instrumental variable models☆20Apr 15, 2026Updated 2 weeks ago
- Modeling of intraday volatility and volume in financial markets☆19May 29, 2023Updated 2 years ago
- An undergraduate course in environmental economics☆20Apr 29, 2024Updated 2 years ago