sheldon0711 / Pricing-convertible-bonds-Links
☆19Updated 3 years ago
Alternatives and similar repositories for Pricing-convertible-bonds-
Users that are interested in Pricing-convertible-bonds- are comparing it to the libraries listed below
Sorting:
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 9 months ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Updated last week
- ☆53Updated 8 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- SOFR curve bootstrapping