stochastic-volatility-models
There are 29 repositories under stochastic-volatility-models topic.
google-research/torchsde
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
crflynn/stochastic
Generate realizations of stochastic processes in python.
jkirkby3/PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
jcfrei/Heston
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.
lakshmiDRIP/DROP-Fixed-Income
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 Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
compops/pmh-tutorial
Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
732jhy/Monte-Carlo-Option-Pricing
Monte Carlo option pricing algorithms for vanilla and exotic options
quantmind/quantflow
Quantitative finance and derivative pricing
ocramz/sde
Numerical experiments with stochastic differential equations
RonsenbergVI/MCMC-estimation-of-Stochastic-Differential-Equations-Papers
A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)
compops/gpo-smc-abc
Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
nickpoison/Stochastic-Volatility-Models
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
zugzvangg/crypto-calibration
Stochastic volatility models and their application to Deribit crypro-options exchange
RoughStochVol/regularity_structure_finance
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
andreperez/Stochastic-Oscilators-Collection
This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.
Mrktn/heston-pricing
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.
hdarjus/SV-comparison
Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
compops/pmh-tutorial-rpkg
R package pmhtutorial available from CRAN.
harvey-allen/option-pricing-and-stochastic-volatility
Introducing the data-driven concept through neural networks to price an option whose volatility is measured as a stochastic process.
MaciejRola/neuralSDE
Code of numerical experiments in Master's thesis [TBD]
0xalbert/heston_model
R implementation of the Heston option pricing function
cateschi/Importance_sampling
R codes to implement two examples for the mode and importance sampling estimation methods.
dannyphandannyphan/wiener-process
Investigating Wiener Processes
alichopping/Heston-Model
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.
AnasthasiaM/Master-s-Project-2017-2018---Stochastic-Volatility
Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
phantomachine/soerisky
Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes