We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
☆18Jun 10, 2022Updated 3 years ago
Alternatives and similar repositories for AFVsimulationCode
Users that are interested in AFVsimulationCode are comparing it to the libraries listed below
Sorting:
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- ☆14Mar 1, 2024Updated last year
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Jun 28, 2020Updated 5 years ago
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 7 years ago
- Surface SVI parameterisation and corresponding local volatility☆61May 10, 2020Updated 5 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Operator Deep Smoothing☆14Feb 7, 2025Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆23May 25, 2020Updated 5 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 3 years ago
- Heath–Jarrow–Morton model☆14Feb 22, 2021Updated 5 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated last year
- ☆16Jul 17, 2020Updated 5 years ago
- Financial Strategy Resources☆18May 21, 2022Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Feb 8, 2024Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆38Aug 4, 2021Updated 4 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆20Feb 18, 2026Updated last week
- ☆17Nov 17, 2021Updated 4 years ago
- vix.py is a python script that calculates the CBOE Volatility Index (VIX) according to the method described in the CBOE VIX White Paper.☆26Mar 30, 2023Updated 2 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆87Dec 19, 2024Updated last year
- Modelling the implicit volatility, using multi-factor statistical models.☆21Apr 22, 2025Updated 10 months ago
- ☆22Apr 1, 2022Updated 3 years ago
- ☆26Mar 23, 2025Updated 11 months ago
- QuantMinds Rough Volatility Workshop lectures☆68Sep 6, 2025Updated 5 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year