quantmind/quantflow

Quantitative finance and derivative pricing

Language: Python - Size: 17.5 MB - Last synced at: 9 days ago - Pushed at: 22 days ago - Stars: 13 - Forks: 1

crflynn/stochastic

Generate realizations of stochastic processes in python.

Language: Python - Size: 3.73 MB - Last synced at: 13 days ago - Pushed at: over 2 years ago - Stars: 472 - Forks: 85

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: about 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: 5 months ago - Pushed at: 5 months ago - Stars: 9 - Forks: 1

google-research/torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Language: Python - Size: 4.17 MB - Last synced at: 6 months ago - Pushed at: 11 months ago - Stars: 1,573 - Forks: 199

RoughStochVol/regularity_structure_finance

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

Language: Python - Size: 11.7 KB - Last synced at: 4 months ago - Pushed at: over 7 years ago - Stars: 9 - Forks: 1

ocramz/sde

Numerical experiments with stochastic differential equations

Language: Haskell - Size: 535 KB - Last synced at: 7 days ago - Pushed at: over 6 years ago - Stars: 19 - Forks: 4

phantomachine/soerisky

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

Size: 6.14 MB - Last synced at: about 1 year ago - Pushed at: almost 8 years ago - Stars: 0 - Forks: 0

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

MaciejRola/neuralSDE

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

Language: Python - Size: 5.47 MB - Last synced at: about 1 year ago - Pushed at: about 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.

Language: Jupyter Notebook - Size: 2.55 MB - Last synced at: about 1 year ago - Pushed at: over 1 year ago - Stars: 2 - Forks: 0

SarcasticMatrix/Stochastic-Volatility-with-particle-filtering

Language: Python - Size: 7.71 MB - Last synced at: about 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: over 1 year ago - Pushed at: over 2 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: almost 2 years ago - Pushed at: over 7 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: almost 2 years ago - Pushed at: about 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: almost 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: about 1 year ago - Pushed at: about 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.

Size: 371 KB - Last synced at: about 2 years ago - Pushed at: over 2 years ago - Stars: 4 - Forks: 4

hdarjus/SV-comparison 📦

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

Language: R - Size: 10.7 KB - Last synced at: about 2 years ago - Pushed at: about 4 years ago - Stars: 3 - Forks: 1

dannyphandannyphan/wiener-process

Investigating Wiener Processes

Language: Jupyter Notebook - Size: 270 KB - Last synced at: almost 2 years ago - Pushed at: almost 2 years ago - Stars: 0 - Forks: 0

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: about 2 years ago - Pushed at: almost 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.

Language: HTML - Size: 544 KB - Last synced at: about 2 years ago - Pushed at: over 6 years ago - Stars: 23 - Forks: 11

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

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: almost 2 years ago - Pushed at: over 7 years ago - Stars: 11 - Forks: 6

compops/pmh-tutorial-rpkg

R package pmhtutorial available from CRAN.

Language: R - Size: 520 KB - Last synced at: 26 days ago - Pushed at: about 6 years ago - Stars: 4 - Forks: 0