swatimital / QuantPricer
☆11Updated 8 years ago
Related projects: ⓘ
- Arbitrage free SVI Surface☆13Updated 6 years ago
- ☆16Updated 3 years ago
- Construction of local volatility surface by using SABR☆25Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- Code for various data snooping tests on financial time series.☆18Updated 9 years ago
- ☆38Updated 9 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Financial security modelling with Python and QuantLib☆33Updated 10 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆45Updated 2 years ago
- Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations☆27Updated 3 years ago
- Calibration of a Surface SVI☆13Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 3 months 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
- Code for the paper "Hedging with linear regressions and neural networks"☆35Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- AAD enabled and scripting included derivatives modeling.☆19Updated this week
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆19Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆13Updated 3 years ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆15Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆38Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 4 years ago
- ☆19Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆34Updated 3 years ago
- ☆45Updated 2 months ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆10Updated 9 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- C++ implementation of rBergomi model☆23Updated 6 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- ☆32Updated 6 years ago