Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.
☆41Aug 29, 2017Updated 8 years ago
Alternatives and similar repositories for Heston
Users that are interested in Heston are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆27Aug 23, 2014Updated 11 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆208Nov 19, 2024Updated last year
- A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)☆16Jul 10, 2020Updated 5 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- ☆70Jan 13, 2026Updated 2 months ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- ☆46Apr 4, 2015Updated 10 years ago
- Codes to clean data and construct variables for empirical finance.☆12Sep 14, 2021Updated 4 years ago
- Machine learning strategy that trains the model using "everything and the kitchen sink": fundamentals, technical indicators, returns, pri…☆14Apr 23, 2024Updated last year
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆139Feb 27, 2025Updated last year
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆55Nov 27, 2020Updated 5 years ago
- Operator Deep Smoothing☆14Feb 7, 2025Updated last year
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆23Jan 20, 2022Updated 4 years ago
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16May 16, 2021Updated 4 years ago
- A pipeline to optimize a portfolio of assets and test it against unseen data.☆14Jan 17, 2020Updated 6 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15May 23, 2022Updated 3 years ago
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- Single-source shortest paths accelerated with AWS F1 FPGA☆14May 2, 2018Updated 7 years ago
- MATLAB Toolbox including a collection of routines for the creation, and manipulation of Non-Uniform Rational B-Splines (NURBS), based on …☆22Feb 16, 2021Updated 5 years ago
- Notebook fitting a Bayesian Gaussian mixture model via stochastic variational inference w/ TensorFlow 2.0☆14Jun 13, 2019Updated 6 years ago
- Website☆11Updated this week
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- C implementation of Disruptor queues☆23Apr 16, 2022Updated 3 years ago
- Parameters for intangible capital accumulation and data on intangible stocks (Ewens, Peters and Wang (2020))☆19Oct 26, 2023Updated 2 years ago
- Machine learning simulation for security prices.☆20Aug 10, 2017Updated 8 years ago
- Tutor step-by-step on how to analyze stock data using the R language.☆21Feb 25, 2024Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- SABR model Python implementation☆592Apr 21, 2022Updated 3 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- quant++: A C++ quantitative trading framework.☆22Jun 21, 2012Updated 13 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- ☆19May 25, 2025Updated 10 months ago
- SABR model calibration on shiny☆11Sep 16, 2013Updated 12 years ago
- Course website for Quantitative Methods for Monetary Economics☆10Sep 4, 2019Updated 6 years ago
- database for securities, with import from Quandl / Yahoo and ingest to zipline☆12Jan 10, 2021Updated 5 years ago
- Files related to VIX Futures ETPs☆20Jun 10, 2021Updated 4 years ago
- qmoms package to compute option-implied moments from surface data☆25Feb 26, 2026Updated 3 weeks ago
- Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine☆21Aug 24, 2022Updated 3 years ago