heston 开源项目推荐（32 个）

AnthonyBradford /optionmatrix

Financial Derivatives Calculator with 171+ Models (Options Calculator)

jkirkby3 /fypy

支持量化研发的普通与奇异期权定价库。专注于为有趣/有用的模型和合约（包括 Black-Scholes 及更广泛的模型）定价，以及将金融模型校准到市场数据。

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.

ted-love /SLV_Calibration

该项目在 GitHub 上没有填写描述

lcsrodriguez /CuttingEdge-Milliman

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

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.

Bruce848647703 /kairos-terminal

自研随机过程驱动的交易终端(QMT-like)：每个品种的价格过程可插拔，用于随机过程与金融数学定价研究。

rayhankhilji /blackscholes

Differentiable quantitative finance library in PyTorch: classical and stochastic-vol pricing, autodiff Greeks, calibration, GPU Monte Carlo (CUDA), arbitrage-penalized neural volatility surfaces

ZacKienzle2 /DerivativesPricing

Sixteen option pricers over six stochastic models including Heston, Bates, SABR and rough Bergomi, spanning analytic, lattice, finite-difference, COS Fourier and Monte Carlo methods.

ThePredictiveDev /Heston-Stochastic-Volatility-Model

Heston model implementation with Monte Carlo simulation for stochastic volatility pricing.Implementation of the Heston Stochastic Volatility Model in Python along with it's Monte Carlo Simulation

Maxence-Latreuille /spread-option-pricing

Pricing and risk management of spread options: Margrabe closed form, Kirk approximation, bivariate Monte Carlo, Heston stochastic volatility, Greeks and implied correlation. Supervised research project, Ecole Centrale de Lyon.

issamarida /schrodinger-local-vol

SPX option pricing as imaginary-time quantum mechanics: arbitrage-free local vol in C++, backtested against SVI, Heston and the practitioner smile on 1.2M quotes

Luca-CS /option-pricing-lab

Exotic options under Black-Scholes, Heston, Dupire local vol and a particle-calibrated Heston SLV, fitted to SPX. Tested pricers, calibration report, browser demo.

Miguelreey /exotic-option-pricer

Derivatives pricing library: Black-Scholes-Merton (16 Greeks), Monte Carlo with variance reduction, Asian/Barrier/Lookback/Digital exotics, Heston (Fourier pricing, QE simulation, SPX calibration), rough Bergomi (hybrid scheme). 1,013 tests, QuantLib-validated, 97% coverage.

risootooo /stochvol-lab

Heston and SABR from scratch, calibrated to the real NIFTY smile: Heston fails the weekly expiry (RMSE 5.8 vol pts) and wins the monthly; every calibration violates Feller; smile dynamics move delta by 2.8 points between models.

wididestrianda01 /pricing-model-validation

Numerical derivatives-pricing and model-validation core: Monte Carlo, finite-difference PDEs, Greeks, and SABR/Heston calibration, each challenged against closed forms and QuantLib, with an SR 26-2-style validation report.

hassanelq /heston-model-calibration-deep-learning

Heston stochastic-volatility calibration for option pricing, comparing classical optimization and deep-learning methods on SPX implied-volatility data.

lozlrc /deep-hedging

Reproduction of J.P. Morgan's Deep Hedging papers (2019 pathwise, 2022 risk-averse actor-critic), checked number by number

white07S /OptionPricingModels

Rust library for option pricing: Binomial, Black-Scholes, Heston and intrinsic value, with Least Squares Monte Carlo and random-forest regression for American exercise.

sfeirc /Options-pricer

High-performance options Greeks engine — Black-Scholes/Heston, AVX2-vectorised pricing, Google Benchmark suite