numericalalgorithmsgroup / implied-vol
☆18Updated 3 years ago
Alternatives and similar repositories for implied-vol:
Users that are interested in implied-vol are comparing it to the libraries listed below
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆24Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- ☆24Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 9 months ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆40Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 6 months ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- 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
- By means of stochastic volatility models☆43Updated 4 years ago
- ☆36Updated 3 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- ☆57Updated last year
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- Algorithmic multi-greek hedges using Python☆19Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆106Updated 5 years ago
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- Hierarchical Risk Parity☆28Updated 4 years ago
- ☆19Updated 6 years ago
- One-off scripts/analysis, usually to accompany my blog posts.☆42Updated 3 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆56Updated 5 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago