moseslv / baruch-mfe-labLinks
Baruch MFE program quant lab
☆15Updated 8 years ago
Alternatives and similar repositories for baruch-mfe-lab
Users that are interested in baruch-mfe-lab are comparing it to the libraries listed below
Sorting:
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago
- ☆52Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆27Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆51Updated 2 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆91Updated 6 months ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Python Code for Quantitative Finance Papers☆40Updated last year
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago