heston-stochastic-volatility
There are 11 repositories under heston-stochastic-volatility topic.
ArturSepp/StochVolModels
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
caramel2001/Financial-Derivative-Analysis-and-Simulation
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
rsadykhov/stochastic-models
Python code of commonly used stochastic models for Monte-Carlo simulations
white07S/Pricing-Models
Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.
arjundhatt13/heston
Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data.
c1adrien/Heston-vs-WGAN-GP
The project aims to compare the effectiveness of the Heston model and WGAN-GP in modeling financial time series data.
MartinErhardt/HestonExotics
Tool for pricing exotic options in the Heston model
xmlongan/ajd.sim.bk
Simulation of Affine Jump Diffusions Using Broadie-Kaya Method
xmlongan/ajd.sim.kbf
Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method
mpokojovy/StochVolPortfolioML
Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
SambhawDrag/Monte-Carlo-LRV-and-PDE-ANNs-for-Derivative-Pricing
My Master's Thesis Project : MC LRV and ANNs for Financial Derivative Pricing