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:
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Updated 5 years ago
- ☆16Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆22Updated last year
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13Updated 7 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 5 months ago
- ☆17Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- ☆22Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- ☆70Updated 7 months ago
- Calibration and pricing options in Heston model☆13Updated 8 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- ☆14Updated 6 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- ☆13Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago