99 skills found · Page 1 of 4
cantaro86 / Financial Models Numerical MethodsCollection of notebooks about quantitative finance, with interactive python code.
ArturSepp / StochVolModelsPython implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
jkirkby3 / PROJ Option Pricing MatlabQuant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
joaquinbejar / OptionStratLibOptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes.
PyFE / PyFENGPython Financial ENGineering (PyFENG package in PyPI.org)
jerryxyx / MonteCarloA model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
clf110510 / Stochastic Volatilitythree stochastic volatility model: Heston, SABR, SVI
Robin-Guilliou / Option PricingOption pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
junsu489 / Volatility Arbitragevolatility arbitrage in Heston model
Imlerith / Jump Diffusion CalibratorCalibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)
jcfrei / HestonOption 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.
Jace-Yang / Heston Model Pricing Formulas And CalibrationFinal project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University
caramel2001 / Financial Derivative Analysis And SimulationPricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
lyndskg / Black Scholes CppA 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).
wilsonfreitas / Heston ModelNo description available
quantmind / QuantflowQuantitative finance and derivative pricing
daleroberts / HestonImplementations of the Heston stochastic volatility model
JackJacquier / Heston Normal And RoughEuropean and Forward-start option pricing and implied volatility in the Heston and rough Heston model
asridi / DML Calibration Heston ModelApplying Differential Machine Learning to Calibrate Heston Model
aidinattar / Volatility Carry Trading StrategyModelling the implicit volatility, using multi-factor statistical models.
