frontmark / jupyter-notebooks
Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
☆39Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for jupyter-notebooks
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- By means of stochastic volatility models☆41Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 6 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 5 months ago
- This repo is for my articles published on Medium.com☆15Updated last year
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆16Updated 2 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- ☆26Updated 2 months ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 6 years ago
- Algorithmic multi-greek hedges using Python☆18Updated 3 years ago
- Portfolio optimization with cvxopt☆15Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 7 years ago
- ☆22Updated 6 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Value and Momentum Using Machine Learning☆11Updated 3 years ago
- ☆18Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆11Updated 3 years ago
- Financial and Investment Data Science: FinDS Python library and examples for applying quantitative and machine learning methods on struct…☆37Updated 5 months ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago