vgalanti / fastvolLinks
High-performance option pricing and volatility modeling library.
☆72Updated 2 months ago
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
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 weeks ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆43Updated 4 months ago
- Tool to support backtests☆46Updated this week
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆95Updated 7 months ago
- ☆41Updated 10 years ago
- my talk for credit suisse☆39Updated last week
- A Python implementation of the rough Bergomi model.☆131Updated 7 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆283Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- ☆67Updated 4 months ago
- ☆49Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆178Updated last month
- C++ implementation of rBergomi model☆24Updated 7 years ago
- To classify trades into buyer- and seller-initiated.☆152Updated 2 years ago
- ☆31Updated 4 months ago
- Public code for our paper https://ssrn.com/abstract=3958331☆26Updated 3 years ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆35Updated last week
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆120Updated 2 weeks ago
- ☆49Updated 7 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆108Updated 9 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆97Updated last year
- Automatically generated reports and diagnostics of interest to futures traders☆59Updated last week
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Time Series Prediction of Volume in LOB☆58Updated last year
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆142Updated 10 months ago
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆23Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago