Alternatives and similar repositories for DeepVol

Users that are interested in DeepVol are comparing it to the libraries listed below

• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 7 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  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
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆12Updated 3 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆12Updated 6 years ago
• Idriss-Afra / Stochastic-Volatility-Inspired-Model
  This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
  ☆9Updated last month
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆21Updated 4 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• lionel75013 / sabrMC
  Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide
  ☆7Updated 6 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆20Updated 4 years ago
• EM51641 / Master-Thesis-
  Volatility is Rough
  ☆9Updated 2 years ago
• TYtianyang / scbnn
  Implied volatility surface interpolation with shape-constrained bayesian neural network.
  ☆15Updated 3 years ago
• chrischia06 / neural-network-derivative-pricing
  Survey of neural network methods for derivatives pricing and risks
  ☆14Updated 2 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆22Updated 4 years ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 4 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• MathePhysics / UROP-2022
  Option Pricing with Machine Learning Methods
  ☆13Updated 10 months ago
• am3p / python
  ☆7Updated 9 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆14Updated 2 years ago
• wahido / neural_locVol
  ☆14Updated 3 years ago
• oskarimikkila / Empirical-Deep-Hedging
  ☆15Updated 2 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆16Updated 2 years ago
• yuba316 / SABR_Volatility_Arbitrage
  A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
  ☆24Updated 2 years ago
• Sarabmonga07 / Kernel-Smoothing-Technique-for-Option-Derivatives-
  Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …
  ☆11Updated 3 years ago