schepal / crypto_gamma_exposureLinks
A research project to study the gamma exposure of market-makers in Bitcoin option markets.
☆14Updated 4 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:
- Dispersion Trading using Options☆33Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆62Updated 5 years ago
- Market making strategies and scientific papers☆13Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- ☆24Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Delta hedging under SABR model☆32Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 2 months ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Package to build risk model for factor pricing model☆28Updated 11 months ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆16Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Option Strategy for Futures☆14Updated 4 years ago
- Developing a trend following model using futures☆33Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Extract and visualize implied volatility from option chain data☆39Updated 3 weeks ago
- ☆24Updated 5 years ago