vgalanti / fastvolLinks
High-performance option pricing and volatility modeling library.
☆68Updated last month
Alternatives and similar repositories for fastvol
Users that are interested in fastvol are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆277Updated last week
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆118Updated 7 months ago
- Tool to support backtests☆46Updated last week
- ☆49Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆176Updated last month
- C++ implementation of rBergomi model☆24Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆126Updated 7 years ago
- ☆41Updated 10 years ago
- To classify trades into buyer- and seller-initiated.☆151Updated 2 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 3 months ago
- my talk for credit suisse☆39Updated last week
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆50Updated 5 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆139Updated 10 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆91Updated 6 months ago
- Script for Calculating Implied Probability Distribution from Option Prices - The Quant's Playbook @ Quant Galore☆39Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Automatically generated reports and diagnostics of interest to futures traders☆58Updated last week
- Python library for asset pricing☆117Updated last year
- ☆49Updated 7 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆97Updated last year
- Python tools to handle fast data management, mongodb access and timeseries analytics that work the same across pandas and numpy☆28Updated last month
- The official Python client library for Databento☆214Updated this week
- ☆67Updated 3 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆100Updated 8 months ago
- Macrosynergy Quant Research☆155Updated last week
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 3 months ago