jkirkby3 / PROJ_Option_Pricing_MatlabLinks
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
☆206Updated last year
Alternatives and similar repositories for PROJ_Option_Pricing_Matlab
Users that are interested in PROJ_Option_Pricing_Matlab are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆199Updated this week
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆131Updated 10 months ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆244Updated 11 months ago
- We implement the paper: Deep Learning Volatility☆204Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆118Updated 6 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆159Updated 2 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆103Updated 3 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆177Updated 4 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 3 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆171Updated 7 years ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆350Updated last month
- Code repository for Pricing and Trading Interest Rate Derivatives☆106Updated 3 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 4 years ago
- Quant Research☆98Updated 2 months ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆275Updated this week
- A Python implementation of the rough Bergomi model.☆137Updated 7 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆62Updated 7 months ago
- Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied v…☆315Updated 10 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- volatility arbitrage in Heston model☆67Updated 9 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 10 months ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago
- Macrosynergy Quant Research☆166Updated this week
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- ☆252Updated last year
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆302Updated this week
- Python Code for Quantitative Finance Papers☆45Updated last year