oge-t / subtle_smileLinks
Calibration and Simulation Engine for Local Volatility Models
☆11Updated 3 years ago
Alternatives and similar repositories for subtle_smile
Users that are interested in subtle_smile are comparing it to the libraries listed below
Sorting:
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- ☆8Updated 9 years ago
- ☆51Updated 8 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- 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
- ☆11Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Volatility is Rough☆9Updated 2 years ago
- Baruch MFE MTH9894☆13Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Stochastic local volatility model calibration☆17Updated 4 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
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated last month
- 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
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- A lean package to estimate financial asset betas☆9Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- This porject is for recording my study path in snowball option pricing and its delta hedging☆16Updated 4 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago