sebgur / SDev.Python
Python repository with various projects in Machine Learning and Finance
☆12Updated 2 weeks ago
Related projects: ⓘ
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆86Updated this week
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Baruch MFE 2019 Spring☆28Updated 4 years ago
- ☆10Updated this week
- Python Code for Quantitative Finance Papers☆32Updated 3 months ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆30Updated 2 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆50Updated 5 months ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆35Updated 3 months ago
- Calibration of a Surface SVI☆13Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 3 months ago
- Arbitrage free SVI Surface☆13Updated 6 years ago
- SOFR curve bootstrapping☆20Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆18Updated 6 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Price options analytically given stock price characteristic function☆13Updated 8 years ago
- Construction of local volatility surface by using SABR☆25Updated 7 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆33Updated 3 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 4 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆130Updated last month
- A Python implementation of the rough Bergomi model.☆107Updated 6 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆37Updated last year
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- ☆7Updated 8 years ago