liamfayle / zakamouline
Zakamouline optimal delta hedging strategy python implementation.
☆15Updated 2 years ago
Alternatives and similar repositories for zakamouline:
Users that are interested in zakamouline are comparing it to the libraries listed below
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- ☆49Updated 3 years ago
- ☆21Updated 5 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆17Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Delta hedging under SABR model☆27Updated 10 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 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
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆12Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Market making strategies and scientific papers☆13Updated last year
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- ☆50Updated 7 years ago
- ☆18Updated 3 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- ☆24Updated 6 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated 3 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Baruch MFE MTH9894☆12Updated 7 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- Time Series Prediction of Volume in LOB☆56Updated 11 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago