jgatheral / RoughVolatilityWorkshopLinks
QuantMinds Rough Volatility Workshop lectures
☆56Updated 2 months ago
Alternatives and similar repositories for RoughVolatilityWorkshop
Users that are interested in RoughVolatilityWorkshop are comparing it to the libraries listed below
Sorting:
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆122Updated last month
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆188Updated 2 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- A Python implementation of the rough Bergomi model.☆133Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆56Updated 5 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- QuantMinds Rough Volatility Workshop lectures☆42Updated this week
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆42Updated last year
- Public code for our paper https://ssrn.com/abstract=3958331☆26Updated 3 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Python Code for Quantitative Finance Papers☆44Updated last year
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆115Updated 10 months ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- ☆12Updated last year
- Quant Research☆91Updated last week
- ☆52Updated 8 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆203Updated last year