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sabr-model

Here are 5 public repositories matching this topic...

PyFE / PyFENG

Python Financial ENGineering (PyFENG package in PyPI.org)

derivatives option-pricing quantitative-finance mathematical-finance black-scholes financial-engineering heston-model sabr-model bachelier-model

Updated Nov 19, 2024
Python

bradleyboyuyang / Optimal-Hedging

Delta hedging under SABR model

model-calibration nonlinear-optimization implied-volatility sabr-model delta-hedging hedging-strategy

Updated May 14, 2024
Jupyter Notebook

zugzvangg / crypto-calibration

Stochastic volatility models and their application to Deribit crypro-options exchange

stochastic-volatility-models heston-model options-pricing sabr-model deribit-exchange

Updated Nov 10, 2024
Jupyter Notebook

MaciejRola / neuralSDE

Code of numerical experiments in Master's thesis [TBD]

option-pricing stochastic-differential-equations stochastic-volatility-models wasserstein-distance sabr-model

Updated Mar 28, 2024
Python

ccjeremylo / FinEng-in-IRFX

Financial Engineering in IRFX in C++

cmake python-bindings curve-construction pybind11 monte-carlo-methods derivative-pricing hull-white lmm sabr-model stochastic-volatility interest-rate-derivatives exotic-options hjm

Updated Mar 1, 2024
Jupyter Notebook

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