tcpedersen / anderson-lake-pythonLinks
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.
☆22Updated 5 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
Sorting:
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 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
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- Options Pricing using Finite Difference Methods☆16Updated 8 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆50Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- SOFR curve bootstrapping☆26Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆46Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 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
- 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
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- ☆18Updated 7 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Dispersion Trading using Options☆33Updated 8 years ago