fbourgey / RoughVolatilityWorkshopLinks
QuantMinds Rough Volatility Workshop lectures
☆31Updated last week
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…☆171Updated 2 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆83Updated 7 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆89Updated 5 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 months ago
- Macrosynergy Quant Research☆153Updated last week
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- QuantMinds Rough Volatility Workshop lectures☆46Updated 9 months ago
- Python Code for Quantitative Finance Papers☆40Updated 11 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- ☆52Updated 8 years ago
- ☆81Updated 9 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆111Updated 6 months ago
- A Python implementation of the rough Bergomi model.☆124Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆194Updated 5 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 10 months ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆265Updated 2 weeks ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- Quant Research☆86Updated 3 weeks ago
- ☆46Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆82Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Multivariate GARCH modelling in Python☆17Updated 10 months ago