sigurdroemer / rough_volatilityLinks
The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets".
☆55Updated last month
Alternatives and similar repositories for rough_volatility
Users that are interested in rough_volatility are comparing it to the libraries listed below
Sorting:
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆63Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- ☆51Updated 8 years ago
- Learning project by project.☆19Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆191Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks ago
- Python Code for Quantitative Finance Papers☆39Updated 9 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆195Updated 7 months ago
- SOFR curve bootstrapping☆26Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆80Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- ☆11Updated last year
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 4 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- ☆8Updated 9 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago