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:
- ☆59Updated 11 months ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆48Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- ☆50Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆74Updated 5 years ago
- Surface SVI parameterisation and corresponding local volatility☆49Updated 5 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- ☆51Updated 8 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Compute VIX and related volatility indices☆107Updated 6 months ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- Zakamouline optimal delta hedging strategy python implementation.☆18Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- ☆48Updated 7 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Delta hedging under SABR model☆32Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆82Updated 3 months ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆98Updated 2 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆78Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- vix_utils provides command line tools and a a Python API for preparing data for analysing the VIX Futures and Cash Term structures. Term …☆50Updated last year
- AAD enabled and scripting included derivatives modeling.☆22Updated 3 weeks ago