wegamekinglc / Derivatives-Algorithms-LibLinks
AAD enabled and scripting included derivatives modeling.
☆22Updated 3 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:
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- ☆53Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 weeks ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 8 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Updated 3 years ago
- ☆55Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- C++ Trading Algorithm Backtest Environment☆95Updated 7 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 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
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- QuantMinds Rough Volatility Workshop lectures☆63Updated 4 months ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago