heston-stochastic-volatility

There are 0 repository under heston-stochastic-volatility topic.

• ArturSepp / StochVolModels

  Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

  option-pricingpythonquantitative-financestochastic-processesvolatility-modelingheston-modelheston-stochastic-volatilitystochastic-volatilitylognormal-stochastic-volatilityfourier-transformmonte-carlo-simulation
  Language:Python 108

• rsadykhov / stochastic-models

  Python code of commonly used stochastic models for Monte-Carlo simulations

  arithmetic-brownian-motiongeometric-brownian-motionbrownian-bridgefeller-square-root-processornstein-uhlenbeck-processconstant-elasticity-of-varianceheston-stochastic-volatilityvariance-gamma-processmerton-jump-diffusionkou-jump-diffusionmonte-carlo-methodsmonte-carlo-simulations
  Language:Python 24

• caramel2001 / Financial-Derivative-Analysis-and-Simulation

  Pricing 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)

  cir-modelderivatives-pricingheston-stochastic-volatilitymonte-carlo-simulationpythonvariance-reductionlocal-volatility-modelimplied-volatilitygeometric-brownian-motioncox-ingersoll-rossnumpymh4518simulation-techniques-in-financemh4518-ntusimulation-modelinggbm
  Language:Jupyter Notebook 20

• white07S / 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.

  algorithmic-tradingamerican-optionsbinomial-modelblack-scholeseuropean-optionsforex-predictionforex-tradingheston-modelheston-stochastic-volatilitymarkov-modelmathematical-financeoption-pricingoptions-tradingpricing-modelstochastic-processesvolatility-modeling
  Language:Python 13

• arjundhatt13 / heston

  Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data.

  heston-stochastic-volatilityquantitative-financestochastic-modelling
  Language:Python 1

• MartinErhardt / HestonExotics

  Tool for pricing exotic options in the Heston model

  heston-stochastic-volatilitymonte-carlo-simulationoptimizationoption-pricing
  Language:C++ 1

• c1adrien / Heston-vs-WGAN-GP

  The project aims to compare the effectiveness of the Heston model and WGAN-GP in modeling financial time series data.

  heston-stochastic-volatilitywgan-gpgangenerative-adversarial-networkpytorch-implementationheston
  Language:Jupyter Notebook 0

• SambhawDrag / Monte-Carlo-LRV-and-PDE-ANNs-for-Derivative-Pricing

  My Master's Thesis Project : MC LRV and ANNs for Financial Derivative Pricing

  heston-stochastic-volatilitymonte-carloneural-networksoption-pricing