jerryxyx / MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
☆102Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for MonteCarlo
- three stochastic volatility model: Heston, SABR, SVI☆81Updated 5 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆79Updated last month
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆91Updated 2 years ago
- Neural network local volatility with dupire formula☆73Updated 3 years ago
- ☆46Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆115Updated 6 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 7 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆174Updated this week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆141Updated this week
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆37Updated last month
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆89Updated this week
- Python code for pricing exotic options, such as Asian options, Barrier options and Look-back options using Monte Carlo methods.☆26Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆119Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆38Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆59Updated 4 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆59Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆45Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- CS7641 Team project☆87Updated 4 years ago