Python code of commonly used stochastic models for Monte-Carlo simulations
☆30Jun 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. 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 last month
- 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
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- various valuation tools for financial derivatives☆11Nov 8, 2016Updated 9 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- 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 4 years ago
- ☆13Mar 7, 2026Updated 2 months 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☆26Dec 26, 2022Updated 3 years ago
- MARNNs Can Learn Generalized Dyck Languages☆12Nov 11, 2019Updated 6 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆24Jun 24, 2022Updated 3 years ago
- This software automatizes the estimation of Yang & Zhang's RV proxy for financial securities☆17Dec 7, 2023Updated 2 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☆13Feb 26, 2020Updated 6 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Sep 16, 2019Updated 6 years ago
- ☆14Updated this week
- ☆26Sep 28, 2021Updated 4 years ago
- High Frequency Market Making: Optimal Quoting☆17Mar 20, 2023Updated 3 years ago
- A high frequency trading server written in Rust☆19May 21, 2025Updated 11 months ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- Learning project by project.☆20Aug 29, 2021Updated 4 years ago
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 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
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- A Python API and BMI for the Dakota iterative systems analysis toolkit☆14Apr 13, 2020Updated 6 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆25Jan 26, 2019Updated 7 years ago
- Order Book Imbalance trading strategy☆10Nov 21, 2022Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 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
- Simulated markets based on Zero-Intelligence agent☆19Jun 12, 2020Updated 5 years ago
- Scientific Machine Learning for Option Pricing☆33Jan 11, 2024Updated 2 years ago
- ☆21Apr 18, 2019Updated 7 years ago
- Python demo code for LOBSTER limit order book data☆13Dec 19, 2019Updated 6 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 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
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 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
- ☆15Feb 16, 2023Updated 3 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Nov 12, 2018Updated 7 years ago
- Simulation of Brownian-Based Stochastic Processes☆22Dec 12, 2023Updated 2 years ago