phpinto / options_dynamic_hedging
C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neutral portfolio to minimize risk exposure.
☆12Updated 2 years ago
Alternatives and similar repositories for options_dynamic_hedging:
Users that are interested in options_dynamic_hedging are comparing it to the libraries listed below
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆58Updated 5 years ago
- C++ implementation of options pricing models☆77Updated 7 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆120Updated 2 years ago
- Simulation of delta hedging☆17Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆101Updated 2 months ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆87Updated 6 years ago
- Different quantitative trading models research☆52Updated 4 months ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆70Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆116Updated 2 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆71Updated 7 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆123Updated 3 years ago
- QuantMinds Rough Volatility Workshop lectures☆33Updated 5 months ago
- Options Trader written in Python based off the ib_insync library.☆49Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- volatility arbitrage in Heston model☆48Updated 3 weeks ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆51Updated 4 years ago
- An asynchronous low-latency trading system☆40Updated last year
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆62Updated 3 years ago
- Python codes used in book 'Option Greeks Strategies & Backtesting in Python'☆131Updated 4 years ago
- Tracking S&P 500 index with deep learning model☆12Updated last year
- This is complete algo trading package is for downloading historical OHLC data for backtesting and performing live trading on Interactive …☆66Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆109Updated 6 years ago
- ☆50Updated 7 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- A high-frequency trading model using Interactive Brokers API with pairs and mean-reversion in Python☆90Updated 2 years ago
- Code and data for my blogs☆92Updated 4 years ago