Quant finance scripts
☆15Apr 13, 2025Updated 11 months ago
Alternatives and similar repositories for Quant
Users that are interested in Quant are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Library for stochastic process simulation☆14May 22, 2023Updated 2 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- 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
- ☆10Mar 16, 2022Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Option Volatility and Pricing Models.☆13Feb 24, 2025Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- ☆15Feb 16, 2023Updated 3 years ago
- Time Series Prediction of Volume in LOB☆60Apr 17, 2024Updated last year
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 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…☆16Jul 3, 2021Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated 2 months ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- An INRIA beamer template☆15Nov 19, 2019Updated 6 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 5 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Apr 15, 2022Updated 3 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆20Aug 20, 2024Updated last year
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- Time-Series Momentum Strategies☆12Jul 20, 2018Updated 7 years ago
- This porject is for recording my study path in snowball option pricing and its delta hedging☆17Feb 12, 2021Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Reinforcement learning tutorials using the rlberry library.☆17Jan 9, 2023Updated 3 years ago