ck2w / baruch-mfe-labLinks
Baruch MFE program quant lab
☆28Updated 7 years ago
Alternatives and similar repositories for baruch-mfe-lab
Users that are interested in baruch-mfe-lab are comparing it to the libraries listed below
Sorting:
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- ☆8Updated 9 years ago
- Advanced Risk and Portfolio Management Resources☆30Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- 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
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years 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 for the paper Volatility is (mostly) path-dependent☆63Updated last year
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Volatility is Rough☆9Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago