quantmind/quantflow

Quantitative finance and derivative pricing

Language: Python - Size: 6.22 MB - Last synced at: 3 days ago - Pushed at: 29 days ago - Stars: 21 - Forks: 3

crflynn/stochastic

Generate realizations of stochastic processes in python.

Language: Python - Size: 3.73 MB - Last synced at: 10 days ago - Pushed at: over 2 years ago - Stars: 482 - Forks: 87

XAheli/Fernholz-SPT

A Python implementation of E. Robert Fernholz's Stochastic Portfolio Theory framework. This library provides tools for researchers, quantitative analysts, and portfolio managers to analyze, optimize, and simulate equity portfolios using the mathematical framework of Stochastic Portfolio Theory.

Language: Python - Size: 203 KB - Last synced at: 2 months ago - Pushed at: 3 months ago - Stars: 3 - Forks: 1

google-research/torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Language: Python - Size: 4.18 MB - Last synced at: 4 months ago - Pushed at: 8 months ago - Stars: 1,645 - Forks: 209

phantomachine/soerisky

Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes

Size: 3.7 MB - Last synced at: 4 months ago - Pushed at: 4 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: 7 months ago - Pushed at: 10 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: 10 months ago - Pushed at: 10 months ago - Stars: 9 - Forks: 1

RoughStochVol/regularity_structure_finance

Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.

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ocramz/sde

Numerical experiments with stochastic differential equations

Language: Haskell - Size: 535 KB - Last synced at: 5 months ago - Pushed at: over 6 years ago - Stars: 19 - Forks: 4

tanvipotdar/Advanced-Modules

Language: Python - Size: 8.46 MB - Last synced at: over 1 year ago - Pushed at: about 5 years ago - Stars: 1 - Forks: 1

MaciejRola/neuralSDE

Code of numerical experiments in Master's thesis [TBD]

Language: Python - Size: 5.47 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 1 - Forks: 0

harvey-allen/option-pricing-and-stochastic-volatility

Introducing the data-driven concept through neural networks to price an option whose volatility is measured as a stochastic process.

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SarcasticMatrix/Stochastic-Volatility-with-particle-filtering

Language: Python - Size: 7.71 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 2 - Forks: 1

nickpoison/Stochastic-Volatility-Models

R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"

Language: R - Size: 2.91 MB - Last synced at: about 2 years ago - Pushed at: almost 3 years ago - Stars: 10 - Forks: 14

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: over 2 years ago - Pushed at: about 8 years ago - Stars: 29 - Forks: 18

compops/pmh-tutorial

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

Language: R - Size: 1.81 MB - Last synced at: over 2 years ago - Pushed at: over 6 years ago - Stars: 24 - Forks: 10

0xalbert/heston_model

R implementation of the Heston option pricing function

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

enesozi/Option-Pricing-Stochastic-Volatility

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

andreperez/Stochastic-Oscilators-Collection

This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.

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hdarjus/SV-comparison 📦

Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)

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dannyphandannyphan/wiener-process

Investigating Wiener Processes

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RonsenbergVI/MCMC-estimation-of-Stochastic-Differential-Equations-Papers

A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)

Language: TeX - Size: 16.3 MB - Last synced at: over 2 years ago - Pushed at: about 5 years ago - Stars: 13 - Forks: 3

lakshmiDRIP/DROP-Fixed-Income

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

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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.

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compops/gpo-smc-abc

Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods

Language: Python - Size: 11.7 MB - Last synced at: over 2 years ago - Pushed at: almost 8 years ago - Stars: 11 - Forks: 6

compops/pmh-tutorial-rpkg

R package pmhtutorial available from CRAN.

Language: R - Size: 520 KB - Last synced at: 1 day ago - Pushed at: over 6 years ago - Stars: 4 - Forks: 0