kwchau / sgbm_xva
This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations (BSDE) (see https://arxiv.org/abs/1801.05180), using the particular case of XVA calculation with Black-Scholes model.
☆12Updated 6 years ago
Alternatives and similar repositories for sgbm_xva:
Users that are interested in sgbm_xva are comparing it to the libraries listed below
- Calibration of a Surface SVI☆12Updated 6 years ago
- 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
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 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…☆11Updated 3 years ago
- ☆7Updated 8 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- ☆19Updated 6 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 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
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 10 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆13Updated 5 years ago
- ☆15Updated 4 years ago
- Volatility is Rough☆9Updated 2 years ago