Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
☆114Mar 10, 2025Updated last year
Alternatives and similar repositories for VolGAN
Users that are interested in VolGAN are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆135Feb 26, 2024Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 3 years ago
- Thesis support material☆11Mar 28, 2021Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 2 months ago
- QuantMinds Rough Volatility Workshop lectures☆71Sep 6, 2025Updated 9 months ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆17Oct 25, 2023Updated 2 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Operator Deep Smoothing☆16May 22, 2026Updated 3 weeks ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆223Apr 7, 2026Updated 2 months ago
- ☆12Mar 17, 2025Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆19Apr 30, 2021Updated 5 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆143Sep 17, 2018Updated 7 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- System for Using Volatility Surfaces to Trade Options - The Quant's Playbook @ Quant Galore☆17Jan 8, 2024Updated 2 years ago
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆65Feb 21, 2026Updated 3 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15May 23, 2022Updated 4 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- SVI volatility surface model and an example of China 50ETF option☆84May 13, 2020Updated 6 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆15Feb 2, 2023Updated 3 years ago
- ☆16Jul 13, 2021Updated 4 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- ☆24Feb 17, 2024Updated 2 years ago
- 上证50ETF波动率指数☆17May 13, 2023Updated 3 years ago
- Implementation of the vanilla Deep Hedging engine☆345Jan 22, 2026Updated 4 months ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Neural network local volatility with dupire formula☆81Jun 15, 2021Updated 5 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Aug 20, 2022Updated 3 years ago
- Enhanced Portfolio Optimization (EPO)☆18Mar 5, 2024Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 4 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- Robust deep hedging and Non-linear generalized affine processes☆13Mar 7, 2025Updated last year
- ☆53Jun 21, 2017Updated 8 years ago