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.
☆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
Sorting:
- Options Pricing using Finite Difference Methods☆14Updated 8 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
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- SOFR curve bootstrapping☆26Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 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
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆44Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆17Updated 7 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆55Updated 3 weeks ago
- ☆8Updated 9 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago