sheldon0711 / Pricing-convertible-bonds-Links
☆18Updated 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:
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- ☆52Updated 8 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 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 4 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 3 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆77Updated 5 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago