fbourgey / RoughVolatilityWorkshopLinks
QuantMinds Rough Volatility Workshop lectures
☆45Updated 3 weeks ago
Alternatives and similar repositories for RoughVolatilityWorkshop
Users that are interested in RoughVolatilityWorkshop are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆194Updated 3 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆101Updated 9 months ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆270Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- volatility arbitrage in Heston model☆65Updated 8 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆58Updated 6 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- QuantMinds Rough Volatility Workshop lectures☆58Updated 3 months ago
- Macrosynergy Quant Research☆162Updated this week
- Quant Research☆95Updated 3 weeks ago
- Surface SVI parameterisation and corresponding local volatility☆54Updated 5 years ago
- We implement the paper: Deep Learning Volatility☆201Updated 5 years ago
- ☆85Updated last year
- Portfolio Construction and Risk Management book's Python code.☆154Updated this week
- A Python implementation of the rough Bergomi model.☆134Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆205Updated last year
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆244Updated 10 months ago
- Python Code for Quantitative Finance Papers☆44Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year
- ☆47Updated 2 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆128Updated 9 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆118Updated 10 months ago
- ☆53Updated 8 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆102Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆208Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago