stochastic-volatility | Topic | Ecosyste.ms: Repos

Topic: "stochastic-volatility"

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: about 1 month ago - Pushed at: about 1 month ago - Stars: 157 - Forks: 32

Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

Language: Python - Size: 503 KB - Last synced at: 3 months ago - Pushed at: 4 months ago - Stars: 90 - Forks: 22

johncollinsai/markov-switching-multifractal

Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).

Language: Python - Size: 6.89 MB - Last synced at: about 1 year ago - Pushed at: about 4 years ago - Stars: 26 - Forks: 9

Beliavsky/R-Finance-Task-View-Supplement

R Finance packages not listed in the Empirical Finance Task View

Size: 191 KB - Last synced at: about 2 months ago - Pushed at: 2 months ago - Stars: 11 - Forks: 1

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

bsvars/bsvarTVPs

Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching and Time-Varying Identification of the Structural Matrix

Language: C++ - Size: 343 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 8 - Forks: 8

guilhermessc/Pair-Trading

Financial analysis and demonstration of the classic algorithmic trading method, pair trading. This analysis compares the portfolio's growth with the underlying assets value and volatility over time.

Language: Jupyter Notebook - Size: 371 KB - Last synced at: about 2 years ago - Pushed at: over 4 years ago - Stars: 5 - Forks: 3

Beliavsky/R-Time-Series-Task-View-Supplement

R Time series packages not included in CRAN Task View: Time Series Analysis

Size: 287 KB - Last synced at: 13 days ago - Pushed at: 13 days ago - Stars: 4 - Forks: 3

mpfarrho/tvp-gvar-fsvm

TVP-GVAR-FSVM model proposed in "Measuring international uncertainty using global vector autoregressions with drifting parameters"

Language: R - Size: 130 KB - Last synced at: over 1 year ago - Pushed at: over 3 years ago - Stars: 4 - Forks: 7

newportquant/MCMC-for-stochastic-volatility

Stochastic Volatility Estimated by MCMC (Markov Chain Monte Carlo) Method

Language: MATLAB - Size: 146 KB - Last synced at: over 1 year ago - Pushed at: over 5 years ago - Stars: 3 - Forks: 1

Beliavsky/TimeSeriesAnalysisBooks

List of books on time series analysis, with links to code where available

Size: 258 KB - Last synced at: 9 days ago - Pushed at: 9 days ago - Stars: 2 - Forks: 0

NoeDebrois/Computational_Mathematics

A repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.

Language: MATLAB - Size: 632 MB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 2 - Forks: 0