fdallac / autocallable-simuLinks
Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark
☆15Updated 5 years ago
Alternatives and similar repositories for autocallable-simu
Users that are interested in autocallable-simu are comparing it to the libraries listed below
Sorting:
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- ☆52Updated 8 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- ☆19Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 7 years ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆79Updated 5 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated 2 years ago