rexsutton / vollab
Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.
☆15Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for vollab
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Advanced Risk and Portfolio Management Resources☆24Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆21Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆19Updated 2 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- my talk for credit suisse☆36Updated this week
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 4 months ago
- ☆18Updated 6 years ago
- Python Code for Quantitative Finance Papers☆35Updated last month
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 7 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆10Updated 6 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated last year
- Calibration of a Surface SVI☆12Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆36Updated last month
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆19Updated 6 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆43Updated 5 years ago
- Dispersion Trading using Options☆27Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 5 years ago