stochastic-volatility-models
There are 6 repositories under stochastic-volatility-models topic.
google-research / torchsde
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Language:Python 1470crflynn / stochastic
Generate realizations of stochastic processes in python.
Language:Python 422jkirkby3 / 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 152jcfrei / 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 31lakshmiDRIP / 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.
fixed-incomeinstruments-trading-conventiontreasury-futures-optionsfunding-curveforward-curvelibor-curveois-curveovernight-curvemulti-curvecollateral-curveposition-horizon-analyzerstatistical-curve-constructionbond-pricing-relative-valueinterest-rate-productscva-dva-fva-kva-xvainterest-rate-optionsstochastic-volatility-modelslmm-calibration-greeksalgorithmic-differentiationasset-backedLanguage:HTML 26compops / pmh-tutorial
Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
Language:R 24732jhy / Monte-Carlo-Option-Pricing
Monte Carlo option pricing algorithms for vanilla and exotic options
Language:Python 21- Language:Haskell 18
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 15Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
Language:Python 12nickpoison / Stochastic-Volatility-Models
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
Language:R 11RoughStochVol / regularity_structure_finance
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Language:Python 10- Language:Jupyter Notebook 8
- quantflowLanguage:Python 8
zugzvangg / crypto-calibration
Stochastic volatility models and their application to Deribit crypro-options exchange
Language:Jupyter Notebook 8Mrktn / 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++ 6andreperez / Stochastic-Oscilators-Collection
This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.
hdarjus / SV-comparison
Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
Language:R 5R package pmhtutorial available from CRAN.
Language:R 4harvey-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 20xalbert / heston_model
R implementation of the Heston option pricing function
Language:R 1cateschi / Importance_sampling
R codes to implement two examples for the mode and importance sampling estimation methods.
Language:R 1dannyphandannyphan / wiener-process
Investigating Wiener Processes
Language:Jupyter Notebook 1MaciejRola / neuralSDE
Code of numerical experiments in Master's thesis [TBD]
Language:Python 1radusbriciu / Realised-Volatility-Calculator
The workings for a very interesting exercise from the Econometrics of Financial Markets module of the MSc Quantitative Finance 2023/24 course at Bayes Business School (formerly Cass).
Language:Jupyter Notebook 1- Language:Python 1
- Language:Python 1
AnasthasiaM / Master-s-Project-2017-2018---Stochastic-Volatility
Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
Language:Pythonphantomachine / soerisky
Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes
Config files for my GitHub profile.
