rsadykhov / stochastic-modelsLinks
Python code of commonly used stochastic models for Monte-Carlo simulations
☆28Updated 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:
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆79Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks ago
- Baruch MFE program quant lab☆28Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Quant Research☆82Updated 4 months ago
- We implement the paper: Deep Learning Volatility☆191Updated 5 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
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- ☆73Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆99Updated 7 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 4 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆196Updated 8 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆65Updated last year
- Public code for our paper https://ssrn.com/abstract=3958331☆26Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- ☆35Updated last year
- ☆50Updated 4 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- Code that I show on my YouTube Channel☆101Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆167Updated last month
- Algo Trading Research & Documentation☆20Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆160Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago