jkirkby3 / PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
☆185Updated 4 months ago
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
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆157Updated 2 weeks ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆100Updated last month
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆46Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆52Updated 2 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆108Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆96Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆87Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆187Updated 4 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆157Updated 4 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆75Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆75Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆98Updated 2 months ago
- Python Code for Quantitative Finance Papers☆39Updated 6 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- volatility arbitrage in Heston model☆45Updated last week
- Quant Research☆71Updated last month
- Surface SVI parameterisation and corresponding local volatility☆46Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆157Updated 4 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆257Updated last month
- Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-S…☆39Updated 7 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆156Updated 6 years ago
- Use the Finite Difference method to price European, American and Bermudan options.☆21Updated 4 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆117Updated last year
- Python code for pricing exotic options, such as Asian options, Barrier options and Look-back options using Monte Carlo methods.☆26Updated 5 years ago
- Code that I show on my YouTube Channel☆98Updated last year
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆201Updated 2 months ago
- Implementation of 5-factor Fama French Model☆123Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago