Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option price and computations of pdf and cdf.
☆17Jul 3, 2021Updated 5 years ago
Alternatives and similar repositories for heston_nandi_garch
Users that are interested in heston_nandi_garch are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Order Book and Trade Book, Realized Volatility, Random Forest☆13Oct 23, 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 …☆11Jul 10, 2021Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Sep 12, 2026Updated last month
- 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.
- SOFR curve construction methods calibrated to swap rates with advanced smoothing techniques for reliable pricing and risk analytics.☆12Jul 4, 2026Updated 4 months ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- A lean package to estimate financial asset betas☆14Feb 12, 2023Updated 3 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Oct 10, 2020Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- High performance hybrid Monte Carlo simulation☆10Sep 21, 2026Updated last month
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- ☆11Dec 18, 2015Updated 10 years ago
- For the first time we derived a closed form solution for Black-Scholes impled volatility☆11Apr 11, 2020Updated 6 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- ☆53Jun 21, 2017Updated 9 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University☆33Jan 2, 2021Updated 5 years ago
- ☆10Aug 9, 2022Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆25Jun 24, 2022Updated 4 years ago
- SABR stochastic volatility model: calibration, implied-volatility surfaces and conditional Monte Carlo (MSc thesis, BSE)☆10Sep 27, 2026Updated last month
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Copula fitting in Python.☆14Dec 4, 2023Updated 2 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆12Dec 13, 2022Updated 3 years ago
- Baruch MFE MTH9894☆14Jun 4, 2017Updated 9 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- ☆12Apr 17, 2021Updated 5 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- robotRay is a python robo trader bot for several strategies including: 1) naked puts based on a simple vega crush algo, 2) golden cross. …☆14Aug 27, 2021Updated 5 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆150Feb 27, 2025Updated last year
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Nov 10, 2024Updated last year
- ☆28Sep 28, 2021Updated 5 years ago
- ☆10Feb 14, 2024Updated 2 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 6 years ago