ilchen / options-pricingLinks
Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Euro. Jupyter notebooks for pricing options using free publicly available datasets.
☆28Updated 3 weeks ago
Alternatives and similar repositories for options-pricing
Users that are interested in options-pricing are comparing it to the libraries listed below
Sorting:
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- ☆42Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆49Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆38Updated 7 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆82Updated 6 months ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol☆12Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆29Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago
- This collects the scripts and notebooks required to reproduce my published work.☆48Updated last week
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆120Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 5 months ago
- ☆25Updated 6 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆110Updated 5 months ago