rsadykhov / stochastic-modelsLinks
Python code of commonly used stochastic models for Monte-Carlo simulations
☆29Updated 3 years ago
Alternatives and similar repositories for stochastic-models
Users that are interested in stochastic-models are comparing it to the libraries listed below
Sorting:
- ☆73Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆89Updated 5 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆82Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- We implement the paper: Deep Learning Volatility☆194Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆124Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Quant Research☆86Updated 3 weeks ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆265Updated 2 weeks ago
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆197Updated 9 months ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆105Updated 9 months ago
- Code that I show on my YouTube Channel☆101Updated 2 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆41Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆172Updated this week
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆112Updated 6 months ago
- ☆46Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- ☆81Updated 9 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆87Updated 7 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆40Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- ☆141Updated 2 years ago