oronimbus / HW1F-HW2FLinks
Hull-White 1/2 Factor Dynamics
☆14Updated 2 years ago
Alternatives and similar repositories for HW1F-HW2F
Users that are interested in HW1F-HW2F are comparing it to the libraries listed below
Sorting:
- Calibration of a Surface SVI☆13Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- ☆17Updated 3 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 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 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
- Option Strategy for Futures☆14Updated 5 years ago
- ☆24Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- 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
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Creating a BTC volatility surface using SVI☆9Updated 2 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
- ☆8Updated 9 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆16Updated 5 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago