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GitHub / ArturSepp / StochVolModels
Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
JSON API: https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArturSepp%2FStochVolModels
Stars: 107
Forks: 23
Open Issues: 0
License: gpl-3.0
Language: Python
Repo Size: 10.2 MB
Dependencies:
7
Created: almost 2 years ago
Updated: 12 days ago
Last pushed: about 1 month ago
Last synced: 5 days ago
Commit Stats
Commits: 25
Authors: 3
Mean commits per author: 8.33
Development Distribution Score: 0.52
More commit stats: https://commits.ecosyste.ms/hosts/GitHub/repositories/ArturSepp/StochVolModels
Topics: fourier-transform, heston-model, heston-stochastic-volatility, lognormal-stochastic-volatility, monte-carlo-simulation, option-pricing, python, quantitative-finance, stochastic-processes, stochastic-volatility, volatility-modeling
Files
Dependencies
- matplotlib >=3.0.0
- numba >=0.55
- numpy >=1.0.0
- pandas >=1.0.0
- scipy >=1.2.0
- seaborn >=0.11.2
- statsmodels >=0.13.0