sweliam / zakamoulineLinks
Zakamouline optimal delta hedging strategy python implementation.
☆18Updated 2 years ago
Alternatives and similar repositories for zakamouline
Users that are interested in zakamouline are comparing it to the libraries listed below
Sorting:
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 4 years ago
- Delta hedging under SABR model☆33Updated last year
- ☆50Updated 4 years ago
- ☆24Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- ☆51Updated 8 years ago
- Backtest result archive for Momentum Trading Strategies☆59Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Collection of Models related to market making☆17Updated 4 years ago
- ☆10Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- ☆33Updated 3 years ago
- Package to build risk model for factor pricing model☆28Updated 11 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆62Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- ☆24Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆17Updated 7 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago