marc-henrard / muRisQ-ir-modelsLinks
muRisQ Advisory: Interest Rate Models for Derivatives.
☆13Updated 2 years ago
Alternatives and similar repositories for muRisQ-ir-models
Users that are interested in muRisQ-ir-models are comparing it to the libraries listed below
Sorting:
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆93Updated 2 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆161Updated 6 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- AAD enabled and scripting included derivatives modeling.☆22Updated last week
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated 3 weeks ago
- ☆45Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆82Updated 10 months ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆40Updated last year
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- ☆50Updated last year
- ☆51Updated 8 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- ☆17Updated 3 years ago
- ☆41Updated 10 years ago
- Quant Research☆82Updated 4 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 4 months ago
- Use the Finite Difference method to price European, American and Bermudan options.☆22Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Reimplementing QuantLib examples by Python☆64Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆235Updated 5 months ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago