fbourgey / RoughVolatilityWorkshopLinks
QuantMinds Rough Volatility Workshop lectures
☆42Updated this 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…☆188Updated 2 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆122Updated last month
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆56Updated 5 months ago
- volatility arbitrage in Heston model☆63Updated 7 months ago
- Macrosynergy Quant Research☆160Updated this week
- A Python implementation of the rough Bergomi model.☆133Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆203Updated last year
- ☆83Updated 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
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆115Updated 10 months ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
- QuantMinds Rough Volatility Workshop lectures☆56Updated 2 months ago
- Quant Research☆91Updated last week
- Python Code for Quantitative Finance Papers☆44Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆201Updated 5 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆242Updated 9 months ago
- ☆52Updated 8 years ago
- ☆47Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆74Updated 5 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆102Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 7 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆125Updated 8 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆79Updated 5 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago