khrapovs / fangoosterleeLinks
Price options analytically given stock price characteristic function
☆16Updated 9 years ago
Alternatives and similar repositories for fangoosterlee
Users that are interested in fangoosterlee are comparing it to the libraries listed below
Sorting:
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 2 months ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- ☆14Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- ☆19Updated 7 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Volatility is Rough☆9Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- ☆12Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆16Updated last year
- ☆8Updated 9 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Updated 7 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago