rexsutton / vollabLinks
Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.
☆17Updated 4 years ago
Alternatives and similar repositories for vollab
Users that are interested in vollab are comparing it to the libraries listed below
Sorting:
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 3 weeks ago
- SABR Implied volatility asymptotics☆22Updated 5 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
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- ☆16Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆20Updated 11 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆56Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- ☆19Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- ☆14Updated 6 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- ☆11Updated last year
- ☆68Updated 2 months 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
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 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
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago