quantpie / Merton-Jump-Diffusion-Model-Python-code
☆11Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for Merton-Jump-Diffusion-Model-Python-code
- Implementation of Modern Portfolio Theory and Black Litterman Model☆19Updated 2 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆39Updated last year
- ☆18Updated 6 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆33Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in t…☆44Updated 3 years ago
- Neural network local volatility with dupire formula☆73Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 8 months ago
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- ☆19Updated 2 years ago
- ☆20Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- alpha-RNN☆28Updated 4 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- ☆22Updated 9 months ago
- ☆64Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆102Updated 5 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆22Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆9Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month