omartinsky / AmericanMonteCarloLinks
Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise features.
☆24Updated 5 years ago
Alternatives and similar repositories for AmericanMonteCarlo
Users that are interested in AmericanMonteCarlo are comparing it to the libraries listed below
Sorting:
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ☆16Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 6 months ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- ☆16Updated 4 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago