☆70Jan 13, 2026Updated 2 months ago
Alternatives and similar repositories for py_lets_be_rational
Users that are interested in py_lets_be_rational are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆390Jan 13, 2026Updated 2 months ago
- ☆46Apr 4, 2015Updated 10 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- ☆16Oct 25, 2023Updated 2 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Voll…☆929Jun 5, 2023Updated 2 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆149Dec 2, 2024Updated last year
- Operator Deep Smoothing☆14Feb 7, 2025Updated last year
- Code for getting implied volatility in Python☆27Jul 27, 2017Updated 8 years ago
- ☆29Feb 3, 2025Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆75Mar 22, 2024Updated 2 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Feb 10, 2023Updated 3 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆16Jul 3, 2021Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- Surface SVI parameterisation and corresponding local volatility☆62May 10, 2020Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆84May 13, 2020Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-S…☆41Aug 29, 2017Updated 8 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- ☆10Mar 16, 2022Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆139Feb 27, 2025Updated last year
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Extract and visualize implied volatility from option chain data☆48Jun 2, 2025Updated 9 months ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- ☆12Apr 17, 2021Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆63Feb 21, 2026Updated last month
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Exporting C++ code to Excel : a quick and painless tutorial by Antoine Savine☆21Aug 24, 2022Updated 3 years ago
- Ez Options - Real-time options analysis dashboard with interactive visualizations for Delta, Gamma, Vanna, Charm exposures, and more.☆57Mar 9, 2026Updated 2 weeks ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated last week