schepal / crypto_gamma_exposureLinks
A research project to study the gamma exposure of market-makers in Bitcoin option markets.
☆15Updated 5 years ago
Alternatives and similar repositories for crypto_gamma_exposure
Users that are interested in crypto_gamma_exposure are comparing it to the libraries listed below
Sorting:
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Option Strategy for Futures☆17Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 5 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- ☆24Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16Updated 6 years ago
- ☆34Updated 2 years ago
- ☆55Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19Updated 4 years ago
- ☆12Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 weeks ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- ☆14Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- ☆16Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Developing a trend following model using futures☆38Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year