Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes
-
Updated
Jul 17, 2017
Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes
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.
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
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 Optio…
Numerical experiments with stochastic differential equations
Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
R package pmhtutorial available from CRAN.
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.
A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)
Monte Carlo option pricing algorithms for vanilla and exotic options
R codes to implement two examples for the mode and importance sampling estimation methods.
Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
Generate realizations of stochastic processes in python.
R implementation of the Heston option pricing function
Add a description, image, and links to the stochastic-volatility-models topic page so that developers can more easily learn about it.
To associate your repository with the stochastic-volatility-models topic, visit your repo's landing page and select "manage topics."