Alternatives and similar repositories for baruch-mfe-lab:

Users that are interested in baruch-mfe-lab are comparing it to the libraries listed below

• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆37Updated 4 years ago
• dpopadic / arpmRes
  Advanced Risk and Portfolio Management Resources
  ☆26Updated 5 years ago
• pingfcc99 / FixedIncomeQuantTrading
  ☆17Updated 6 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆13Updated 9 months ago
• QuantMaverick / options_SABR_model
  This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…
  ☆16Updated 6 years ago
• remis-thoughts / svi-zeliade
  Fitting an SVI model using Zeliade's method in Python with Pandas
  ☆11Updated 9 years ago
• ck2w / baruch-mfe-lab
  Baruch MFE program quant lab
  ☆24Updated 6 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆12Updated 6 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆56Updated last week
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆12Updated 3 years ago
• FranklinMa810 / Market-Microstructure
  ☆21Updated 5 years ago
• am3p / python
  ☆7Updated 8 years ago
• echalkpad / MTH9894-Algo-Trading
  Baruch MFE MTH9894
  ☆12Updated 7 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• FranklinMa810 / baruch-mfe-lab
  Baruch MFE program quant lab
  ☆9Updated 6 years ago
• frasagui / CQF_June_2020
  This will include all the lecture slides, exercise papers, and data sheets used in Certificate in Quantitative Finance for the June 2020 …
  ☆29Updated 4 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆27Updated 7 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 4 years ago
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆35Updated 9 months ago
• dpicone1 / LiborMarketModel
  Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option
  ☆11Updated 4 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆26Updated 4 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆21Updated 4 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 2 years ago
• fdallac / autocallable-simu
  Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark
  ☆15Updated 5 years ago
• Sarabmonga07 / Kernel-Smoothing-Technique-for-Option-Derivatives-
  Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …
  ☆11Updated 3 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆16Updated 2 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆23Updated 4 years ago