mwbrulhardt / gleam
A library of code that implements discrete local volatility surfaces.
☆8Updated 11 months ago
Alternatives and similar repositories for gleam:
Users that are interested in gleam are comparing it to the libraries listed below
- Prices an FX option and creates a volatility surface.☆7Updated 7 years ago
- ☆7Updated 8 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 10 months ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆11Updated 9 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 3 years ago
- Volatility is Rough☆9Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- 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
- Surface SVI parameterisation and corresponding local volatility☆41Updated 4 years ago
- Arbitrage free SVI Surface☆13Updated 7 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- baruch mfe mth9814 financial instruments☆12Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago