frontmark / jupyter-notebooks
Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
☆39Updated 4 years ago
Alternatives and similar repositories for jupyter-notebooks:
Users that are interested in jupyter-notebooks are comparing it to the libraries listed below
- By means of stochastic volatility models☆43Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆19Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- ☆13Updated 5 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
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 9 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆13Updated last year
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 3 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated 2 weeks ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 4 years ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- ☆35Updated 7 years ago
- openseries is a project with tools to analyze financial timeseries of a single asset or a group of assets. It is solely made for daily or…☆28Updated this week
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆15Updated 2 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago