Stochastic models to price financial options
☆24Dec 7, 2020Updated 5 years ago
Alternatives and similar repositories for vanilla-option-pricing
Users that are interested in vanilla-option-pricing are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆50Nov 2, 2023Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- SciFin is a python package for Science & Finance.☆11Oct 25, 2020Updated 5 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Set of Jupyter (iPython) notebooks (and few pdf-presentations) about things that I am interested on, like Computer Science, Statistics an…☆98Apr 18, 2021Updated 5 years ago
- Research on OTC options pricing models☆27Jan 24, 2018Updated 8 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…☆17Jul 3, 2021Updated 4 years ago
- Python Code for Quantitative Finance Papers☆49May 8, 2026Updated last week
- Volatility Decomposition of Asset Price Time Series☆11May 5, 2019Updated 7 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Nov 28, 2019Updated 6 years ago
- Download NEM Australian electricity grid data from AEMO.☆18Oct 20, 2024Updated last year
- ☆10Feb 11, 2023Updated 3 years ago
- Stochastic local volatility model calibration☆20Apr 23, 2021Updated 5 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- ☆11Dec 18, 2015Updated 10 years ago
- ☆14Nov 9, 2013Updated 12 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Feb 21, 2024Updated 2 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆53May 13, 2020Updated 6 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- ☆15Feb 16, 2023Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- The Smooth Forward Price Curve builder you never thought you needed☆27Mar 25, 2019Updated 7 years ago
- Pricing Asian options using finite difference schemes in Python☆11Jun 20, 2025Updated 10 months ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Collection of Jane Street Puzzles that I have gone back to solve☆13Mar 1, 2026Updated 2 months ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Sample code that shows how to forecast stock market volatility using a Kalman filter☆15Aug 17, 2023Updated 2 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- A PyTorch implementation of the Extended Kalman Filter Q-learning algorithm presented in the paper "Deep Robust Kalman Filter"☆13Apr 9, 2018Updated 8 years ago
- Python Workshops by CSE@UIUC☆10Apr 25, 2017Updated 9 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 2 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Sep 22, 2020Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆123Apr 5, 2019Updated 7 years ago
- Quant finance scripts☆15Apr 13, 2025Updated last year
- Asset allocation and Portfolio Management Course @ Baruch MFE☆17Feb 1, 2020Updated 6 years ago