Python code of commonly used stochastic models for Monte-Carlo simulations
☆30Jun 4, 2022Updated 4 years ago
Alternatives and similar repositories for stochastic-models
Users that are interested in stochastic-models are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 4 months ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 5 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- 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
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- various valuation tools for financial derivatives☆11Nov 8, 2016Updated 9 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…☆17Jul 3, 2021Updated 5 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- ☆13Mar 7, 2026Updated 4 months ago
- MARNNs Can Learn Generalized Dyck Languages☆12Nov 11, 2019Updated 6 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆24Jun 24, 2022Updated 4 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- ☆14Jul 23, 2017Updated 9 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Simulated markets based on Zero-Intelligence agent☆18Jun 12, 2020Updated 6 years ago
- A series of Jupyter Notebooks that demonstrate how to scrape data from the S&P Capital IQ Website, provided that you already have access …☆20Sep 20, 2019Updated 6 years ago
- Quantitative Trading Model based on Financial Market Sentiment / 基于市场情绪平稳度的量化交易模型☆14Feb 26, 2020Updated 6 years ago
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Sep 16, 2019Updated 6 years ago
- ☆27Sep 28, 2021Updated 4 years ago
- A high frequency trading server written in Rust☆20May 21, 2025Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆51Nov 2, 2023Updated 2 years ago
- ☆11Mar 6, 2019Updated 7 years ago
- Learning project by project.☆20Aug 29, 2021Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- A Python API and BMI for the Dakota iterative systems analysis toolkit☆14Apr 13, 2020Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- Script for trade arbitrage opportunities between European-style options and Perpetual futures, with notifications in telegram☆11Jun 10, 2023Updated 3 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Jan 11, 2026Updated 6 months ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆25Jan 26, 2019Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- This is the final project following my time at Flatirons Data Science bootcamp. It uses Neural Networks (and other machine learning metho…☆79Aug 3, 2020Updated 5 years 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
- The Electricity Market Model EMMA is a techno-economic model of the Northwestern European power market, covering 12 European countries.☆22Jan 25, 2023Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- High Frequency Market Making: Optimal Quoting☆18Mar 20, 2023Updated 3 years ago
- This software automatizes the estimation of Yang & Zhang's RV proxy for financial securities☆18Dec 7, 2023Updated 2 years ago
- A look-alike model to identify potential clients based on certain characteristics from the existing customer base.☆13Dec 8, 2022Updated 3 years ago