Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
☆118Mar 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"☆134Feb 26, 2024Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆39Apr 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.☆10Sep 12, 2026Updated last month
- QuantMinds Rough Volatility Workshop lectures☆76Sep 6, 2025Updated last year
- 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.
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆65Feb 21, 2026Updated 8 months ago
- Neural network framework for volatility surface approximation and calibration. Supports rough Heston/Bergomi, random grids, multi-regime …☆15Jul 7, 2026Updated 3 months ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- A Python implementation of the rough Bergomi model.☆143Sep 17, 2018Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- Delta hedging under SABR model☆50May 14, 2024Updated 2 years ago
- ☆18Oct 25, 2023Updated 3 years ago
- Fourier-transform pricing, Monte Carlo validation, and calibration of European options under stochastic-volatility models in Python☆240Updated this week
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- PyTorch-based framework for Deep Hedging☆370Aug 30, 2024Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- SVI volatility surface model and an example of China 50ETF option☆85May 13, 2020Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆63May 10, 2020Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 6 years ago
- Research repo for reinforcement learning–based deep hedging of SPX & SPY options☆21Dec 8, 2025Updated 10 months ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆21Apr 30, 2021Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆136Jun 9, 2026Updated 4 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 5 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Operator Deep Smoothing☆18May 22, 2026Updated 5 months ago
- Enhanced Portfolio Optimization (EPO)☆18Aug 14, 2026Updated 2 months ago
- Code for the paper Volatility is (mostly) path-dependent☆79Mar 22, 2024Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- AAD enabled and scripting included derivatives modeling.☆27Updated this week
- We implement the paper: Deep Learning Volatility☆211May 10, 2020Updated 6 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 6 years ago
- ☆13Mar 17, 2025Updated last year
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆28Dec 9, 2017Updated 8 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 8 years ago
- Implementation of the vanilla Deep Hedging engine☆354Jan 22, 2026Updated 9 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- System for Using Volatility Surfaces to Trade Options - The Quant's Playbook @ Quant Galore☆17Jan 8, 2024Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆16May 23, 2022Updated 4 years ago