Alternatives and similar repositories for lets_be_rational:

Users that are interested in lets_be_rational are comparing it to the libraries listed below

• vollib / py_lets_be_rational
  ☆53Updated 8 months ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆154Updated 2 months ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated last year
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆46Updated 4 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆76Updated 6 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆85Updated 6 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆76Updated 3 years ago
• wangys96 / SVI-Volatility-Surface-Calibration
  SVI volatility surface model and an example of China 50ETF option
  ☆63Updated 4 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆116Updated last year
• xhshenxin / Micro_Price
  ☆49Updated 3 years ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆42Updated 4 years ago
• thedatabeat / SVI
  ☆50Updated 7 years ago
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 6 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆79Updated 2 years ago
• cvxgrp / vwap_opt_exec
  Volume Weighted Average Price Optimal Execution
  ☆41Updated 6 years ago
• mm842 / lobpy
  Python package for a class of tractable SPDE models for limit order book modeling
  ☆35Updated 3 years ago
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆56Updated 11 months ago
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆35Updated 11 months ago
• wegamekinglc / Derivatives-Algorithms-Lib
  AAD enabled and scripting included derivatives modeling.
  ☆21Updated last month
• IlluvatarEru / ElectronicMarkets
  ☆47Updated 6 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆62Updated last week
• sle14 / Vol-surface-parametrisation
  Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations
  ☆29Updated 4 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆96Updated 2 months ago
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆87Updated 4 years ago
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆39Updated 5 months ago
• arraystream / fftoptionlib
  FFT-based Option Pricing Methods in Python
  ☆59Updated 6 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆43Updated 4 years ago
• bradleyboyuyang / Optimal-Hedging
  Delta hedging under SABR model
  ☆27Updated 10 months ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆118Updated 6 years ago