yuba316 / SABR_Volatility_Arbitrage
A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
☆23Updated 2 years ago
Alternatives and similar repositories for SABR_Volatility_Arbitrage:
Users that are interested in SABR_Volatility_Arbitrage are comparing it to the libraries listed below
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆19Updated 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…☆11Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 8 months ago
- ☆17Updated 8 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- ☆7Updated 8 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆24Updated 6 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Package to build risk model for factor pricing model☆24Updated 5 months ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆10Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆47Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated 3 weeks ago
- Dynamic portfolio optimization☆19Updated last year
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- Baruch course - Market Microstructure☆12Updated 8 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago