mattsta / pygreeksLinks
calculate exact black-scholes option value using pytorch autograd and also calculate greeks using either autograd or numerical approximation
☆14Updated last year
Alternatives and similar repositories for pygreeks
Users that are interested in pygreeks are comparing it to the libraries listed below
Sorting:
- An Automated Trading System for managing and executing multiple trading strategies via Interactive Brokers.☆17Updated 7 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Collections of snippets for trading I find interesting☆26Updated 4 months ago
- Extract and visualize implied volatility from option chain data☆38Updated this week
- By means of stochastic volatility models☆44Updated 5 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Time Series Prediction of Volume in LOB☆57Updated last year
- my talk for credit suisse☆38Updated this week
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- ☆41Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Real-time & historical data API for US stocks and options☆61Updated 11 months ago
- experiments with crypto trading☆16Updated 10 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Labels calculation&visualisation - comes with a small BTC/USDT database. Part of my research. Integral part of: https://arxiv.org/abs/201…☆26Updated 2 years ago
- ☆40Updated 4 years ago
- ☆27Updated 2 weeks ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- Systematic trading in Python☆12Updated 3 weeks ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated last year
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago