piterbarg / altnnpubLinks
Public code for our paper https://ssrn.com/abstract=3958331
☆26Updated 3 years ago
Alternatives and similar repositories for altnnpub
Users that are interested in altnnpub are comparing it to the libraries listed below
Sorting:
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆120Updated 3 weeks ago
- A Python implementation of the rough Bergomi model.☆131Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆178Updated 2 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- QuantMinds Rough Volatility Workshop lectures☆51Updated last month
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆122Updated 8 months ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆173Updated last month
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆202Updated 11 months ago
- Macrosynergy Quant Research☆159Updated 2 weeks ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆95Updated 7 months ago
- Quant Research☆90Updated last week
- ☆47Updated 2 years ago
- ☆67Updated 4 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- We implement the paper: Deep Learning Volatility☆196Updated 5 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆266Updated 3 weeks ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆111Updated 9 months ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆43Updated 7 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆49Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago