aidinattar/Volatility-carry-trading-strategy

Modelling the implicit volatility, using multi-factor statistical models.

Language: Python - Size: 98.1 MB - Last synced at: 1 day ago - Pushed at: 1 day ago - Stars: 13 - Forks: 7

cantaro86/Financial-Models-Numerical-Methods

Collection of notebooks about quantitative finance, with interactive python code.

Language: Jupyter Notebook - Size: 23.3 MB - Last synced at: 11 days ago - Pushed at: 6 months ago - Stars: 5,818 - Forks: 1,048

ArturSepp/StochVolModels

Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

Language: Python - Size: 10.1 MB - Last synced at: 12 days ago - Pushed at: 12 days ago - Stars: 157 - Forks: 32

SarcasticMatrix/hestonpy

Calibration of Stochastic Volatility models on implied volatility smiles

Language: Jupyter Notebook - Size: 45.9 MB - Last synced at: 21 days ago - Pushed at: 21 days ago - Stars: 0 - Forks: 0

aurelienperez/gpu-heston-monte-carlo

GPU-accelerated Monte Carlo simulation for option pricing under the Heston model using CUDA.

Language: Cuda - Size: 1.09 MB - Last synced at: 23 days ago - Pushed at: 23 days ago - Stars: 0 - Forks: 0

quantmind/quantflow

Quantitative finance and derivative pricing

Language: Python - Size: 17.5 MB - Last synced at: 12 days ago - Pushed at: 24 days ago - Stars: 13 - Forks: 1

AnthonyBradford/optionmatrix

Financial Derivatives Calculator with 171+ Models (Options Calculator)

Language: C++ - Size: 92 MB - Last synced at: 25 days ago - Pushed at: about 2 months ago - Stars: 210 - Forks: 46

jerryxyx/MonteCarlo

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

Language: Jupyter Notebook - Size: 2.11 MB - Last synced at: 28 days ago - Pushed at: about 6 years ago - Stars: 107 - Forks: 52

Liberxue/cqf

Custom Neuron Decision-Making and Visual Workflow Orchestration Quantitative

Language: Rust - Size: 1.06 MB - Last synced at: 9 days ago - Pushed at: 13 days ago - Stars: 17 - Forks: 5

xmlongan/ajd.sim.bk

Simulation of Affine Jump Diffusions Using Broadie-Kaya Method

Language: R - Size: 96.7 KB - Last synced at: 11 days ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0

xmlongan/ajd.sim.kbf

Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method

Language: R - Size: 36.1 KB - Last synced at: 11 days ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0

jkirkby3/PROJ_Option_Pricing_Matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Language: MATLAB - Size: 381 KB - Last synced at: 2 months ago - Pushed at: 5 months ago - Stars: 179 - Forks: 67

zugzvangg/crypto-calibration

Stochastic volatility models and their application to Deribit crypro-options exchange

Language: Jupyter Notebook - Size: 40.1 MB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 9 - Forks: 1

InsaneHe/Heston_Model

a use of the Heston model and BS model part of the paper "沪深300股指期权定价实证研究——基于BS、 CEV、Heston模型的对比分析" (An Empirical Study of CSI 300 Index Option Pricing Based on the BS, CEV and Heston Models). An English README.md in the files, if you need to read English text, click the README_en.md file and read the information about this project.

Language: Python - Size: 5.18 MB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 1 - Forks: 0

Robin-Guilliou/Option-Pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

Language: Jupyter Notebook - Size: 1.51 MB - Last synced at: 6 months ago - Pushed at: over 3 years ago - Stars: 71 - Forks: 16

PyFE/PyFENG

Python Financial ENGineering (PyFENG package in PyPI.org)

Language: Python - Size: 3.26 MB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 147 - Forks: 70

NikosNikolopoulos/ComputationalFinance

Some applications in Financial Mathematics.

Language: Jupyter Notebook - Size: 4.45 MB - Last synced at: 9 months ago - Pushed at: 9 months ago - Stars: 5 - Forks: 2

tomespel/discretization-cir-processes 📦

This is a simulation project for the seconder order discretization schemes for the CIR process.

Language: C++ - Size: 20.6 MB - Last synced at: 11 months ago - Pushed at: about 7 years ago - Stars: 5 - Forks: 2

lyndskg/black-scholes-cpp

A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

Language: C++ - Size: 3.73 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 9 - Forks: 3

tanvipotdar/Advanced-Modules

Language: Python - Size: 8.46 MB - Last synced at: about 1 year ago - Pushed at: over 4 years ago - Stars: 1 - Forks: 1

SK8gh/HestonPricer

Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.

Language: C++ - Size: 4.88 KB - Last synced at: over 1 year ago - Pushed at: over 3 years ago - Stars: 1 - Forks: 0

ChristianLindler/optionspricer

American and European options pricer web app build with Flask and React

Language: JavaScript - Size: 6.75 MB - Last synced at: 4 months ago - Pushed at: over 1 year ago - Stars: 2 - Forks: 0

sidbannet/stockhealth

`stockhealth` is a Python package built for investment management and analysis of security in US stock exchange.

Language: Python - Size: 11.4 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 1 - Forks: 0

rexsutton/vollab

Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.

Language: Jupyter Notebook - Size: 627 KB - Last synced at: over 1 year ago - Pushed at: almost 4 years ago - Stars: 12 - Forks: 4

Gonewiththewind4/Financial-Programming-and-its-Application

The code here is used for several basic financial models and methods, including Black Scholes formula, Monte Carlo Simulation, etc. The codes in this repository are written with C#.

Language: C# - Size: 22.6 MB - Last synced at: over 1 year ago - Pushed at: about 6 years ago - Stars: 3 - Forks: 0

jcfrei/Heston

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

Language: Matlab - Size: 93.8 KB - Last synced at: almost 2 years ago - Pushed at: over 7 years ago - Stars: 29 - Forks: 18

0xalbert/heston_model

R implementation of the Heston option pricing function

Language: R - Size: 47.9 KB - Last synced at: almost 2 years ago - Pushed at: over 2 years ago - Stars: 0 - Forks: 0

vincent27hugh/FEM_Heston_Model

We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.

Language: MATLAB - Size: 5.52 MB - Last synced at: over 1 year ago - Pushed at: over 6 years ago - Stars: 6 - Forks: 1

enesozi/Option-Pricing-Stochastic-Volatility

Language: Jupyter Notebook - Size: 1.85 MB - Last synced at: about 1 year ago - Pushed at: about 7 years ago - Stars: 8 - Forks: 6

white07S/Pricing-Models

Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.

Language: Python - Size: 206 KB - Last synced at: about 2 years ago - Pushed at: over 2 years ago - Stars: 1 - Forks: 3

sandershortway/BlackScholesHeston

Determine implied volatility according to Black-Scholes dynamics.

Language: Python - Size: 55.7 KB - Last synced at: about 2 years ago - Pushed at: almost 4 years ago - Stars: 5 - Forks: 2

kirillzx/Stochastic-Differential-Equations

📚SDE research and modelling in Finance📚

Language: Jupyter Notebook - Size: 33.7 MB - Last synced at: about 2 years ago - Pushed at: almost 3 years ago - Stars: 4 - Forks: 0

anitamezzetti/Heston_option_pricing

Machine Learning for Finance (FIN-418 EPFL) final project: Comparison of different option pricers for the Heston model

Language: Jupyter Notebook - Size: 66.1 MB - Last synced at: about 2 years ago - Pushed at: over 4 years ago - Stars: 4 - Forks: 2

Mrktn/heston-pricing

Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.

Language: C++ - Size: 342 KB - Last synced at: about 2 years ago - Pushed at: about 6 years ago - Stars: 4 - Forks: 1

Aravindan98/BlackScholes-Heston

Black Scholes Model and Heston Model

Language: Python - Size: 20.1 MB - Last synced at: about 2 years ago - Pushed at: almost 4 years ago - Stars: 1 - Forks: 0

LautaroParada/stochastic-processes

Stochastic Valuation Processes for stock prices and bond rates

Language: HTML - Size: 3.54 MB - Last synced at: about 2 years ago - Pushed at: over 4 years ago - Stars: 1 - Forks: 2

lnapo94/HestonFive

Application used to price an option under the BarbequeRTRM framework

Language: C++ - Size: 241 KB - Last synced at: about 2 years ago - Pushed at: almost 8 years ago - Stars: 1 - Forks: 0