Calibration and Simulation Engine for Local Volatility Models
☆15Dec 13, 2021Updated 4 years ago
Alternatives and similar repositories for subtle_smile
Users that are interested in subtle_smile are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆15Jul 13, 2021Updated 4 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆13Jun 28, 2019Updated 6 years ago
- Stochastic local volatility model calibration☆19Apr 23, 2021Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆31Oct 23, 2023Updated 2 years ago
- ☆54Jun 21, 2017Updated 8 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click and start building anything your business needs.
- Thesis support material☆11Mar 28, 2021Updated 4 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- ☆15Aug 21, 2023Updated 2 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆63Feb 21, 2026Updated last month
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- Delta hedging under SABR model☆47May 14, 2024Updated last year
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- dbmp一个能帮你管理和维护MySQL的web项目☆13Oct 21, 2016Updated 9 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- (WWW'25 + Netflix) The first CRS that retrieves collaborative filtering knowledge with two-step context-aware reflection.☆21Sep 10, 2025Updated 6 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Monte Carlo simulation to option pricing in CUDA☆11Apr 29, 2017Updated 8 years ago
- 博客相关代码、数据☆15Apr 6, 2022Updated 3 years ago
- Examples of nautilus script☆39Oct 6, 2025Updated 5 months ago
- This is some work on option prcing and greeks calculation for dynamic hedge. These functions are numerical pricing methods employed to re…☆18Feb 3, 2021Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click and start building anything your business needs.
- 致力于多因子,AI策略,可盈利模型的研究☆13Apr 14, 2023Updated 2 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Nov 17, 2019Updated 6 years ago
- TVP VAR Workshop☆15Feb 26, 2020Updated 6 years ago
- 基于wide deep模型的CTR预估,从训练到部署☆18Jun 24, 2019Updated 6 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Jan 21, 2022Updated 4 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆12Jun 5, 2022Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆84May 13, 2020Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- ☆11May 24, 2015Updated 10 years ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- 雁陎的各种小项目合集☆17Apr 8, 2024Updated last year
- Solving variational inequality problems, modeling via JuMP☆18Nov 5, 2018Updated 7 years ago
- Relative Rotation Graph☆12May 31, 2021Updated 4 years ago
- Nonlinear Granger causality inference with neural networks for high-resolution mass spectrometry☆15Oct 31, 2021Updated 4 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Mar 27, 2018Updated 8 years ago
- A python implementation of a local copy of a Binance Orderbook.☆17Jul 29, 2020Updated 5 years ago
- Contains all code from paper: "Data-Driven Estimation in Equilibrium: An Inverse Variational Inequality Approach"☆16Apr 5, 2018Updated 7 years ago