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:
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- ☆74Updated 4 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 3 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆195Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Python for Finance module for Imperial MSc in Mathematics and Finance☆104Updated 10 months ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆202Updated 10 months ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- A Python implementation of the rough Bergomi model.☆126Updated 7 years ago
- QuantMinds Rough Volatility Workshop lectures☆48Updated last month
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- ☆46Updated last year
- Quant Research☆90Updated last month
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆91Updated 6 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆87Updated last month
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆176Updated last month
- ☆20Updated 8 months ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 4 months ago