milenavuletic / VolGANLinks
Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
☆74Updated 2 months ago
Alternatives and similar repositories for VolGAN
Users that are interested in VolGAN are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆115Updated 4 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated this week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆160Updated last week
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- volatility arbitrage in Heston model☆50Updated 2 months ago
- Python Code for Quantitative Finance Papers☆39Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Surface SVI parameterisation and corresponding local volatility☆46Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆120Updated 6 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆162Updated last year
- Quant Research☆78Updated 2 months ago
- ☆50Updated 7 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆158Updated 4 years ago
- ☆49Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Replication of https://ssrn.com/abstract=3984925☆37Updated last year
- Macrosynergy Quant Research☆137Updated last week