jgatheral / RoughVolatilityWorkshop
QuantMinds Rough Volatility Workshop lectures
☆28Updated 2 months ago
Alternatives and similar repositories for RoughVolatilityWorkshop:
Users that are interested in RoughVolatilityWorkshop are comparing it to the libraries listed below
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated 2 weeks ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆46Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆93Updated last week
- ☆45Updated last year
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆51Updated 2 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆67Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 8 months ago
- Surface SVI parameterisation and corresponding local volatility☆38Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆62Updated 4 years ago
- volatility arbitrage in Heston model☆41Updated last month
- Python Code for Quantitative Finance Papers☆39Updated 3 months ago
- Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations☆29Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆11Updated 9 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆83Updated 5 years ago
- ☆48Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Vanna-volga pricer for fx options☆9Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Quant Research☆68Updated 2 months ago
- Delta hedging under SABR model☆21Updated 8 months ago