fdallac / autocallable-simuLinks
Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark
☆15Updated 6 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 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- ☆19Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- ☆53Updated 8 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 8 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16Updated 8 years ago
- baruch mfe mth9814 financial instruments☆17Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆118Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago