ryanmccrickerd / rough_bergomiLinks
A Python implementation of the rough Bergomi model.
☆120Updated 6 years ago
Alternatives and similar repositories for rough_bergomi
Users that are interested in rough_bergomi are comparing it to the libraries listed below
Sorting:
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆115Updated 4 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆160Updated last week
- We implement the paper: Deep Learning Volatility☆188Updated 5 years ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated this week
- volatility arbitrage in Heston model☆50Updated last month
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆158Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆111Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆46Updated 5 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆191Updated 6 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- SVI volatility surface model and an example of China 50ETF option☆72Updated 5 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆158Updated 6 months ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- ☆50Updated 7 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Quantamental finance research with python☆148Updated 2 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆106Updated 3 months ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆228Updated this week
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆80Updated 9 months ago