sauxpa / QuantLinks
Quant finance scripts
β16Updated 7 months ago
Alternatives and similar repositories for Quant
Users that are interested in Quant are comparing it to the libraries listed below
Sorting:
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.β12Updated 8 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies πβ16Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.β11Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations β¦β12Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooksβ38Updated 5 years ago
- β21Updated 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 prβ¦β15Updated 4 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.β11Updated 3 months ago
- An xVA quantitative library written in python using tensorflowβ17Updated last week
- Repository attached to the paper with the same name.β21Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.β37Updated 7 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.β16Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.β33Updated 5 years ago
- Construction of local volatility surface by using SABRβ30Updated 8 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estimaβ¦β33Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Modelβ25Updated 2 years ago
- Price options analytically given stock price characteristic functionβ16Updated 10 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise fβ¦β24Updated 5 years ago
- β16Updated 5 years ago
- β12Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.β17Updated 5 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.β12Updated 7 years ago
- SABR Implied volatility asymptoticsβ24Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkageβ23Updated 3 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.β15Updated 3 years ago
- Calibration of a Surface SVIβ13Updated 6 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedgingβ16Updated 5 years ago
- Alpha model skeletons & examplesβ12Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds aheadβ30Updated 5 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.β21Updated last year