cate-art / ANN-Option-Pricing-
Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network
☆20Updated 3 years ago
Related projects: ⓘ
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆25Updated last year
- Deep Neural Networks for Options Pricing (Python)☆40Updated 5 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆16Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆19Updated 10 months ago
- Multivariate DCC-GARCH model☆14Updated 5 years ago
- Portfolio optimization using Genetic algorithm.☆52Updated 3 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆27Updated 5 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆21Updated 3 weeks ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆19Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆9Updated 4 months ago
- Learning project by project.☆15Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆36Updated 2 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆9Updated 2 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆44Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆59Updated 4 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 7 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆70Updated 2 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 4 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆27Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆58Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- Calibration and pricing options in Heston model☆12Updated 6 years ago