yieldcurvemonkey / Curvy-CUSIPsLinks
☆38Updated 3 months ago
Alternatives and similar repositories for Curvy-CUSIPs
Users that are interested in Curvy-CUSIPs are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆162Updated last week
- ☆14Updated 7 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆115Updated 4 months ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆76Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆86Updated 2 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆191Updated 6 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated last week
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆116Updated last year
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆231Updated this week
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- volatility arbitrage in Heston model☆50Updated 2 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Algo Trading Research & Documentation☆19Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Python Code for Quantitative Finance Papers☆39Updated 8 months ago
- Macrosynergy Quant Research☆137Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- ☆48Updated 7 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆107Updated 3 months ago
- ☆29Updated 2 years ago
- Python library for asset pricing☆115Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- SOFR curve bootstrapping☆26Updated 4 years ago
- Features and labels engineering of raw data of quotes of several stocks.☆29Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 5 years ago
- ☆138Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago