daleroberts / hestonLinks
Implementations of the Heston stochastic volatility model
☆24Updated 10 years ago
Alternatives and similar repositories for heston
Users that are interested in heston are comparing it to the libraries listed below
Sorting:
- ☆46Updated 9 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 9 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 5 years ago
- Credit Default Swap Pricer☆18Updated 2 years ago
- ☆18Updated 7 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆164Updated 6 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- Practical applications towards risk-centric portfolio management☆46Updated 9 years ago
- Repository for simulation and estimation of CIR one factor model parameters☆11Updated 7 years ago
- ☆20Updated 8 years ago
- ☆17Updated 3 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆159Updated 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
- Python Code for Quantitative Finance Papers☆40Updated 11 months ago
- QuantInsti EPAT: Final Project on Statistical Arbitrage☆117Updated 8 years ago
- ☆89Updated last month
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- ☆25Updated 7 years ago
- convertible bond pricing☆13Updated 11 years ago
- Thinkful data science program portfolio☆14Updated 5 years ago
- NYU Tandon lecture slides☆32Updated 3 months ago
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Reimplementing QuantLib examples by Python☆65Updated 3 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆133Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆58Updated 8 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆14Updated 2 years ago