vollib / lets_be_rational
☆38Updated 9 years ago
Related projects: ⓘ
- ☆45Updated 2 months ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- ☆46Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆56Updated 4 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆38Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆71Updated 6 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆34Updated 3 years ago
- ☆46Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆73Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆50Updated 5 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆109Updated 8 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆130Updated last month
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations☆27Updated 3 years ago
- ☆37Updated this week
- To classify trades into buyer- and seller-initiated.☆126Updated last year
- Notebooks based on financial machine learning.☆43Updated 4 years ago
- Neural network local volatility with dupire formula☆71Updated 3 years ago
- Compute VIX and related volatility indices☆96Updated 4 months ago
- Backtest result archive for Momentum Trading Strategies☆43Updated 5 years ago
- ☆84Updated this week
- Surface SVI parameterisation and corresponding local volatility☆35Updated 4 years ago
- ☆96Updated 6 years ago
- FFT-based Option Pricing Methods in Python☆58Updated 6 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for f…☆121Updated this week
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆24Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆10Updated 9 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆22Updated last year
- Probability of Backtest Overfitting in Python☆116Updated last year