Implementation of the rough volatility model and its calibration
☆10Jul 11, 2020Updated 5 years ago
Alternatives and similar repositories for Rough-volatility-model--and--calibration
Users that are interested in Rough-volatility-model--and--calibration are comparing it to the libraries listed below
Sorting:
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated last week
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Apr 15, 2022Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- This porject is for recording my study path in snowball option pricing and its delta hedging☆17Feb 12, 2021Updated 5 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- ☆10Mar 16, 2022Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 3 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Nov 10, 2024Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University☆31Jan 2, 2021Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Sep 12, 2020Updated 5 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Jul 7, 2021Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Analytical solution and calibration☆14Aug 1, 2011Updated 14 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Quant finance scripts☆15Apr 13, 2025Updated 10 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- Option Volatility and Pricing Models.☆13Feb 24, 2025Updated last year
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Oct 10, 2020Updated 5 years ago