tcpedersen / anderson-lake-python
Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature.
☆21Updated 4 years ago
Alternatives and similar repositories for anderson-lake-python:
Users that are interested in anderson-lake-python are comparing it to the libraries listed below
- Options Pricing using Finite Difference Methods☆14Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 10 months ago
- ☆17Updated 6 years ago
- Heath–Jarrow–Morton model☆11Updated 4 years ago
- SOFR curve bootstrapping☆23Updated 4 years ago
- ☆7Updated 8 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆11Updated 9 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations☆29Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- Volatility is Rough☆9Updated 2 years ago
- ☆19Updated 6 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 10 months ago
- Stochastic local volatility model calibration☆15Updated 3 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago