heston-model
There are 5 repositories under heston-model topic.
cantaro86 / Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
american-optionsbrownian-motioneconometricsfinancial-engineeringfinancial-mathematicsfourier-inversionheston-modeljump-diffusion-mertons-modeljupyter-notebookskalman-filterlevy-processeslinear-regressionlinear-systems-equationsmonte-carlo-methodsoption-pricingpartial-differential-equationspythonquantitative-financestochastic-differential-equationsstochastic-processesLanguage:Jupyter Notebook 5391AnthonyBradford / optionmatrix
Financial Derivatives Calculator with 168+ Models (Options Calculator)
Language:C++ 189jkirkby3 / 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 162- Language:Python 138
ArturSepp / StochVolModels
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
Language:Python 122jerryxyx / MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
Language:Jupyter Notebook 99Robin-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 62jcfrei / 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 35rexsutton / 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 14white07S / 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 13- quantflowLanguage:Python 11
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++ 10zugzvangg / crypto-calibration
Stochastic volatility models and their application to Deribit crypro-options exchange
Language:Jupyter Notebook 9aidinattar / Volatility-carry-trading-strategy
Modelling the implicit volatility, using multi-factor statistical models.
Language:HTML 8- Language:Jupyter Notebook 8
- Generalized-Bates-model-draft
kirillzx / Generalized-Bates-model-draft
📚SDE research and modelling in Finance📚
Language:Jupyter Notebook 7 vincent27hugh / FEM_Heston_Model
We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.
Language:MATLAB 7anitamezzetti / Heston_option_pricing
Machine Learning for Finance (FIN-418 EPFL) final project: Comparison of different option pricers for the Heston model
Language:Jupyter Notebook 6Mrktn / 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++ 6NikosNikolopoulos / ComputationalFinance
Some applications in Financial Mathematics.
Language:Jupyter Notebook 5sandershortway / BlackScholesHeston
Determine implied volatility according to Black-Scholes dynamics.
Language:Python 5tomespel / discretization-cir-processes
This is a simulation project for the seconder order discretization schemes for the CIR process.
Language:C++ 5Gonewiththewind4 / 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# 3LautaroParada / stochastic-processes
Stochastic Valuation Processes for stock prices and bond rates
Language:HTML 3Aravindan98 / BlackScholes-Heston
Black Scholes Model and Heston Model
Language:Python 2ChristianLindler / optionspricer
American and European options pricer web app build with Flask and React
Language:JavaScript 2KennnnyZhou / QuantitativeFinancePackages
Lunchbox of basic quantitative models in practice
Language:Python 2SK8gh / HestonPricer
Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.
Language:C++ 20xalbert / heston_model
R implementation of the Heston option pricing function
Language:R 1lnapo94 / HestonFive
Application used to price an option under the BarbequeRTRM framework
Language:C++ 1- Language:Python 1
MingFengX / Heston-implement
implement Heston model, which describe stochastic volatility.
Language:Jupyter Notebook 0- Language:HTML 0
