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:
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆120Updated 3 weeks ago
- ☆77Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆131Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆178Updated 2 months ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- ☆47Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- We implement the paper: Deep Learning Volatility☆196Updated 5 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆95Updated 7 months ago
- Quant Research☆90Updated last week
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆202Updated 11 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆122Updated 8 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- ☆141Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 weeks ago
- Code for the paper "Hedging with linear regressions and neural networks"☆38Updated 4 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆21Updated 2 years ago