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:
- Algorithmic multi-greek hedges using Python☆21Updated 4 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 3 months ago
- Dispersion Trading using Options☆33Updated 8 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆21Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 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
- ☆12Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆16Updated 2 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆15Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ☆19Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆47Updated 2 years ago
- This repository contains python code to create, backtest and automate intraday-trading algorithms in financial markets using Machine Lear…☆10Updated 4 years ago
- ☆26Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 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
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- keywords - Kmeans Clustering, Tsne, PCA, Indian Stocks, Johansen test☆32Updated 7 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated 2 months ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A Quantitative Finance Engineering Project☆14Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆15Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago