dlaptev / VarGammaLinks
Variance Gamma distribution (Python): pdf, cdf, rand and fit.
☆12Updated 7 years ago
Alternatives and similar repositories for VarGamma
Users that are interested in VarGamma are comparing it to the libraries listed below
Sorting:
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 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…☆13Updated 4 years ago
- ☆20Updated 7 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Quant finance scripts☆16Updated 5 months ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆16Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- ☆12Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- ☆16Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆15Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated 11 months ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 10 months ago
- ☆17Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 months ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 3 years ago