white07S / Pricing-ModelsLinks
Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.
☆18Updated 3 years ago
Alternatives and similar repositories for Pricing-Models
Users that are interested in Pricing-Models are comparing it to the libraries listed below
Sorting:
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆22Updated last year
- This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…☆10Updated 4 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Updated 2 years ago
- ☆19Updated 5 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- ☆12Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated 2 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- System for Using Volatility Surfaces to Trade Options - The Quant's Playbook @ Quant Galore☆16Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Updated 3 years ago
- ☆17Updated 7 years ago
- Financial Machine Learning Repository☆11Updated last year
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- ☆28Updated last year
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network☆20Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 5 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 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