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:
- 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 4 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Nov 10, 2024Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated last week
- 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
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- ☆26Sep 28, 2021Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 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
- ☆13Aug 18, 2025Updated 6 months ago
- ☆14Updated this week
- ☆12Jan 10, 2026Updated last month
- This is the official codebase for paper: Scaling Verification Can Be More Effective than Scaling Policy Learning for Vision-Language-Acti…☆39Feb 24, 2026Updated last week
- Source code for my blog DeepNotes☆15May 4, 2023Updated 2 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 last month
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Nov 12, 2018Updated 7 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- PyTorch tutorials.☆11Apr 6, 2021Updated 4 years ago
- Pricing Asian options using finite difference schemes in Python☆11Jun 20, 2025Updated 8 months ago
- MARNNs Can Learn Generalized Dyck Languages☆12Nov 11, 2019Updated 6 years ago
- The Spezi FHIR Standard & Related Modules☆13Jan 11, 2026Updated last month
- Test equality between a black-box LLM API and a reference distribution☆12Oct 29, 2024Updated last year
- Order Book Imbalance trading strategy☆11Nov 21, 2022Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 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
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- 6.790 | Machine Learning | Draft Site/Notes☆15Dec 5, 2025Updated 3 months ago
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Sep 16, 2019Updated 6 years ago
- ☆13Feb 23, 2026Updated 2 weeks 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☆13Feb 26, 2020Updated 6 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
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 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
- 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