PyFE / PyFENG Star 144 Code Issues Pull requests 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 Aug 24, 2024 Python
bradleyboyuyang / Optimal-Hedging Star 17 Code Issues Pull requests 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 Star 9 Code Issues Pull requests Stochastic volatility models and their application to Deribit crypro-options exchange stochastic-volatility-models heston-model options-pricing sabr-model deribit-exchange Updated Jun 24, 2023 Jupyter Notebook
ccjeremylo / FinEng-in-IRFX Star 1 Code Issues Pull requests 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
MaciejRola / neuralSDE Star 1 Code Issues Pull requests 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