felixkylo82 / options-pricingLinks
C++ implementation of options pricing models
☆77Updated 7 years ago
Alternatives and similar repositories for options-pricing
Users that are interested in options-pricing are comparing it to the libraries listed below
Sorting:
- C++ Trading Algorithm Backtest Environment☆88Updated 6 years ago
- C++ low-latency in-memory order book☆91Updated 11 years ago
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- real high-frequency-trading system based on c++☆85Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Nasdaq Order Book Reconstructor☆244Updated 3 years ago
- My codes and notes for Joshi's book: c++ design patterns and derivatives pricing☆129Updated 10 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆76Updated 2 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆74Updated 6 years ago
- Coding exercise I did ages ago for a Jump Trading interview☆34Updated 11 years ago
- Implementation of a orderbook data structure for LOB research capabilities.☆145Updated last year
- ☆113Updated 7 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆160Updated last week
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- A collection of homeworks of market microstructure models.☆240Updated 7 years ago
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆123Updated 3 years ago
- ☆50Updated 7 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆232Updated 3 months ago
- SVI volatility surface model and an example of China 50ETF option☆72Updated 5 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆141Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- A C++ Quantitative Trading System☆91Updated 9 years ago
- Simple Market Simulator implementation for HFT stress testing☆30Updated 11 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆68Updated 9 years ago
- Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.☆57Updated 11 months ago
- An event-driven backtester☆106Updated 5 years ago
- volatility arbitrage in Heston model☆50Updated 2 months ago