shaunlinz02 / two_factor_quintic_ouLinks
implementation of the two-factor quintic OU model
☆10Updated 7 months ago
Alternatives and similar repositories for two_factor_quintic_ou
Users that are interested in two_factor_quintic_ou are comparing it to the libraries listed below
Sorting:
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆95Updated 7 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆119Updated 2 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- A Python implementation of the rough Bergomi model.☆131Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆108Updated 9 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆81Updated 10 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- ☆67Updated 4 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆177Updated last month
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Instrumented Principal Components Analysis☆240Updated 3 years ago
- We implement the paper: Deep Learning Volatility☆196Updated 5 years ago
- Python library for asset pricing☆117Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Portfolio Construction and Risk Management book's Python code.☆129Updated last week
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆97Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆140Updated 4 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 4 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- ☆12Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago