milenavuletic / VolGAN
Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
☆67Updated last month
Alternatives and similar repositories for VolGAN:
Users that are interested in VolGAN are comparing it to the libraries listed below
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆64Updated 3 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆46Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆52Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆98Updated 2 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆157Updated 2 weeks ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated 11 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Surface SVI parameterisation and corresponding local volatility☆45Updated 4 years ago
- Python Code for Quantitative Finance Papers☆39Updated 6 months ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆65Updated 4 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- three stochastic volatility model: Heston, SABR, SVI☆87Updated 6 years ago
- ☆50Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆63Updated 2 months ago