Alternatives and similar repositories for vollab

Users that are interested in vollab are comparing it to the libraries listed below

• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆12Updated 6 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  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
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆22Updated 4 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆29Updated 8 years ago
• maalejach / Rough-volatility-model--and--calibration
  Implementation of the rough volatility model and its calibration
  ☆9Updated 4 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated this week
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 7 years ago
• am3p / python
  ☆7Updated 9 years ago
• Idriss-Afra / Stochastic-Volatility-Inspired-Model
  This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
  ☆9Updated last month
• Sarabmonga07 / Kernel-Smoothing-Technique-for-Option-Derivatives-
  Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …
  ☆11Updated 3 years ago
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆25Updated 4 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆25Updated 4 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆14Updated last year
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆12Updated 3 years ago
• wahido / neural_locVol
  ☆14Updated 3 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆16Updated 2 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆28Updated 4 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• Herrsosa / Volatility-and-the-Equity-Risk-Premium
  ☆13Updated 6 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆35Updated 3 years ago
• oumarndiaye / Projet_QF_partie_2
  Vanna-volga pricer for fx options
  ☆9Updated 6 years ago
• Imlerith / Jump-Diffusion-Calibrator
  Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)
  ☆37Updated 4 years ago
• lionel75013 / sabrMC
  Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide
  ☆7Updated 6 years ago