wegamekinglc / Derivatives-Algorithms-LibLinks
 AAD enabled and scripting included derivatives modeling.
☆22Updated 2 weeks ago
Alternatives and similar repositories for Derivatives-Algorithms-Lib
Users that are interested in Derivatives-Algorithms-Lib are comparing it to the libraries listed below
Sorting:
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆52Updated 8 years ago
- ☆16Updated 4 years ago
- ☆41Updated 10 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- High Frequency Trading☆110Updated 7 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- C++ Trading Algorithm Backtest Environment☆93Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Fast, Multi threaded and Efficient Trade Matching Engine☆27Updated 4 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆104Updated 7 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆25Updated 7 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
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago