frontmark / jupyter-notebooksLinks
Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
☆38Updated 5 years ago
Alternatives and similar repositories for jupyter-notebooks
Users that are interested in jupyter-notebooks are comparing it to the libraries listed below
Sorting:
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆12Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ☆14Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Quant finance scripts☆16Updated 5 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆35Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 6 months ago
- Development space for PhD in Finance☆33Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ☆19Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆22Updated 6 years ago