vpatel576 / option_probabilitesLinks
Estimating Option-Implied Probability Distributions for Equity Pricing
☆11Updated 5 years ago
Alternatives and similar repositories for option_probabilites
Users that are interested in option_probabilites are comparing it to the libraries listed below
Sorting:
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- A lean package to estimate financial asset betas☆11Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- quantitative asset allocation strategy☆34Updated 11 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆28Updated 3 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Calibration and pricing options in Heston model☆13Updated 8 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 4 months ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated last year
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 3 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- ☆24Updated 3 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆60Updated 6 months ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated 2 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago