rsadykhov / stochastic-modelsView external linksLinks
Python code of commonly used stochastic models for Monte-Carlo simulations
☆29Jun 4, 2022Updated 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:
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Nov 10, 2024Updated last year
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- 💧 Inland water systems are essential to our environment because they are vital ecosystems that are bio-diverse. Thus, finding innovative…☆11Apr 26, 2020Updated 5 years ago
- ☆12Jan 10, 2026Updated last month
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Apr 8, 2020Updated 5 years ago
- Python Workshops by CSE@UIUC☆10Apr 25, 2017Updated 8 years ago
- MARNNs Can Learn Generalized Dyck Languages☆12Nov 11, 2019Updated 6 years ago
- ☆11Oct 31, 2021Updated 4 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- This software automatizes the estimation of Yang & Zhang's RV proxy for financial securities☆17Dec 7, 2023Updated 2 years ago
- This algorithm takes a daily position on the SPY ETF by indirectly predicting the change in price through the put/call ratio. I do this b…☆12Jan 16, 2022Updated 4 years ago
- Test equality between a black-box LLM API and a reference distribution☆12Oct 29, 2024Updated last year
- The Spezi FHIR Standard & Related Modules☆13Jan 11, 2026Updated last month
- Quantitative Trading Model based on Financial Market Sentiment / 基于市场情绪平稳度的量化交易模型☆13Feb 26, 2020Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- various valuation tools for financial derivatives☆10Nov 8, 2016Updated 9 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- A blog where I write about research papers and blog posts I read.☆12Nov 20, 2024Updated last year
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Sample code that shows how to forecast stock market volatility using a Kalman filter☆15Aug 17, 2023Updated 2 years ago
- A PyTorch implementation of the Extended Kalman Filter Q-learning algorithm presented in the paper "Deep Robust Kalman Filter"☆13Apr 9, 2018Updated 7 years ago
- A python toolbox for locating and exporting brain regions from mouse brain images.☆12Oct 22, 2024Updated last year
- Script for trade arbitrage opportunities between European-style options and Perpetual futures, with notifications in telegram☆10Jun 10, 2023Updated 2 years ago
- A curated repository of frontier robotics content.☆27Jan 16, 2026Updated 3 weeks ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 years ago
- A look-alike model to identify potential clients based on certain characteristics from the existing customer base.☆12Dec 8, 2022Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Mar 12, 2021Updated 4 years ago
- Notes for "Applications of QFT to Geometry", UT Austin, fall 2017☆12Aug 28, 2024Updated last year
- robotRay is a python robo trader bot for several strategies including: 1) naked puts based on a simple vega crush algo, 2) golden cross. …☆15Aug 27, 2021Updated 4 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆13Apr 28, 2018Updated 7 years ago