swatimital / QuantPricer
☆12Updated 8 years ago
Alternatives and similar repositories for QuantPricer:
Users that are interested in QuantPricer are comparing it to the libraries listed below
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- ☆41Updated 9 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- ☆16Updated 4 years ago
- Arbitrage free SVI Surface☆13Updated 7 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆55Updated 8 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆12Updated 9 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 4 years ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Price options analytically given stock price characteristic function☆15Updated 9 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆28Updated 4 years ago
- ☆24Updated 6 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 8 years ago
- Code for various data snooping tests on financial time series.☆18Updated 9 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- By means of stochastic volatility models☆43Updated 5 years ago