Topic: stochastic-volatility-models Goto Github
Some thing interesting about stochastic-volatility-models
Some thing interesting about stochastic-volatility-models
stochastic-volatility-models,R implementation of the Heston option pricing function
User: 0xalbert
stochastic-volatility-models,Monte Carlo option pricing algorithms for vanilla and exotic options
User: 732jhy
stochastic-volatility-models,Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
User: anasthasiam
stochastic-volatility-models,This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.
User: andreperez
Home Page: https://www.tradingview.com/u/andre_007
stochastic-volatility-models,R codes to implement two examples for the mode and importance sampling estimation methods.
User: cateschi
stochastic-volatility-models,Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
User: compops
Home Page: http://www.johandahlin.com/research/
stochastic-volatility-models,Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
User: compops
Home Page: http://www.johandahlin.com/research/
stochastic-volatility-models,R package pmhtutorial available from CRAN.
User: compops
Home Page: https://cran.rstudio.com/web/packages/pmhtutorial/index.html
stochastic-volatility-models,Generate realizations of stochastic processes in python.
User: crflynn
Home Page: http://stochastic.readthedocs.io/en/stable/
stochastic-volatility-models,Investigating Wiener Processes
User: dannyphandannyphan
stochastic-volatility-models,
User: enesozi
stochastic-volatility-models,Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Organization: google-research
stochastic-volatility-models, Introducing the data-driven concept through neural networks to price an option whose volatility is measured as a stochastic process.
User: harvey-allen
stochastic-volatility-models,Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
User: hdarjus
stochastic-volatility-models,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.
User: jcfrei
stochastic-volatility-models,Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
User: jkirkby3
stochastic-volatility-models,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.
User: lakshmidrip
Home Page: https://lakshmidrip.github.io/DROP
stochastic-volatility-models,Code of numerical experiments in Master's thesis [TBD]
User: maciejrola
stochastic-volatility-models,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.
User: mrktn
stochastic-volatility-models,R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
User: nickpoison
stochastic-volatility-models,Numerical experiments with stochastic differential equations
User: ocramz
stochastic-volatility-models,Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes
User: phantomachine
stochastic-volatility-models,Quantitative finance and derivative pricing
Organization: quantmind
Home Page: https://quantmind.github.io/quantflow/
stochastic-volatility-models,Config files for my GitHub profile.
User: radusbriciu
Home Page: https://github.com/radusbriciu
stochastic-volatility-models,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).
User: radusbriciu
stochastic-volatility-models,A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)
User: ronsenbergvi
stochastic-volatility-models,Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Organization: roughstochvol
stochastic-volatility-models,
User: sarcasticmatrix
stochastic-volatility-models,
User: tanvipotdar
stochastic-volatility-models,Stochastic volatility models and their application to Deribit crypro-options exchange
User: zugzvangg
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