Option Volatility and Pricing Models.
☆13Feb 24, 2025Updated last year
Alternatives and similar repositories for oplib
Users that are interested in oplib are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- ☆10Mar 16, 2022Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Oct 23, 2023Updated 2 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated last week
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 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…☆15Jul 3, 2021Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- This porject is for recording my study path in snowball option pricing and its delta hedging☆17Feb 12, 2021Updated 5 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- ☆17Nov 17, 2021Updated 4 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Apr 15, 2022Updated 3 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆20Aug 20, 2024Updated last year
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆21Jun 22, 2020Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆31Apr 10, 2023Updated 2 years ago
- Advanced Risk and Portfolio Management Resources☆36Aug 20, 2019Updated 6 years ago
- Research on OTC options pricing models☆27Jan 24, 2018Updated 8 years ago
- Fixed income tools for R☆64May 10, 2025Updated 9 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Jul 16, 2023Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University☆31Jan 2, 2021Updated 5 years ago
- Django with Data Science [Video], published by Packt☆12Dec 15, 2025Updated 2 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago