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:
- Volume Weighted Average Price Optimal Execution☆42Updated 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
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 7 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- ☆53Updated 8 years ago
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 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
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆25Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Arbitrage free SVI Surface☆14Updated 7 years ago
- ☆53Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- AI based alpha research for trading☆50Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ORC wing model calibrator and simulator.☆11Updated last year
- High Frequency Trading Strategies☆48Updated 8 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆72Updated 9 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆80Updated 5 years ago
- ☆49Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago