Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
-
Updated
May 25, 2024 - Python
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices and maturities. We also show that the Heston model captures volatility smiles/smirks/skews.
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).
Config files for my GitHub profile.
Code of numerical experiments in Master's thesis [TBD]
Quantitative finance and derivative pricing
Introducing the data-driven concept through neural networks to price an option whose volatility is measured as a stochastic process.
Investigating Wiener Processes
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Stochastic volatility models and their application to Deribit crypro-options exchange
R implementation of the Heston option pricing function
Generate realizations of stochastic processes in python.
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.
Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
R codes to implement two examples for the mode and importance sampling estimation methods.
Monte Carlo option pricing algorithms for vanilla and exotic options
A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)
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."