swatimital / QuantPricerLinks
☆12Updated 9 years ago
Alternatives and similar repositories for QuantPricer
Users that are interested in QuantPricer are comparing it to the libraries listed below
Sorting:
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
 - Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
 - ☆52Updated 8 years ago
 - Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
 - Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
 - Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
 - Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
 - Construction of local volatility surface by using SABR☆30Updated 8 years ago
 - Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
 - An xVA quantitative library written in python using tensorflow☆17Updated last week
 - ☆63Updated last year
 - Arbitrage free SVI Surface☆14Updated 7 years ago
 - SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
 - SOFR curve bootstrapping☆27Updated 5 years ago
 - SABR Implied volatility asymptotics☆23Updated 5 years ago
 - Calibration of a Surface SVI☆13Updated 6 years ago
 - Research on OTC options pricing models☆27Updated 7 years ago
 - ☆19Updated 3 years ago
 - Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
 - ☆16Updated 4 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
 - Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
 - C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
 - three stochastic volatility model: Heston, SABR, SVI☆91Updated 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
 - Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
 - Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
 - C++ option pricing library on vanillas & exotics, Python volatility calibration library☆20Updated last year
 - 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
 - ☆25Updated 7 years ago