vollib / lets_be_rationalLinks
☆41Updated 10 years ago
Alternatives and similar repositories for lets_be_rational
Users that are interested in lets_be_rational are comparing it to the libraries listed below
Sorting:
- ☆60Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- C++ implementation of rBergomi model☆24Updated 7 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆90Updated 6 months ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆125Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆245Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆175Updated 2 weeks ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆26Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Probability of Backtest Overfitting in Python☆125Updated 2 years ago
- Compute VIX and related volatility indices☆106Updated 9 months ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- Macrosynergy Quant Research☆153Updated this week
- ☆52Updated 4 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- ☆52Updated 8 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 2 months ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 4 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆95Updated last year
- Python package for a class of tractable SPDE models for limit order book modeling☆37Updated 4 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆137Updated 9 months ago