zugzvangg / crypto-calibrationLinks
Stochastic volatility models and their application to Deribit crypro-options exchange
☆13Updated last year
Alternatives and similar repositories for crypto-calibration
Users that are interested in crypto-calibration are comparing it to the libraries listed below
Sorting:
- Repo for Crypto Option Calibration project in CMF☆14Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆28Updated 2 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- ☆24Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- ☆53Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- ☆37Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- Package to build risk model for factor pricing model☆27Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 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
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆29Updated 7 years ago