stochastic-volatility-models 开源项目推荐（40 个）

google-research /torchsde

支持 GPU 和高效敏感性分析的可微分 SDE 求解器。

crflynn /stochastic

Generate realizations of stochastic processes in python.

jkirkby3 /PROJ_Option_Pricing_Matlab

该项目在 GitHub 上没有填写描述

quantmind /quantflow

Quantitative finance and derivative pricing

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 Optio…

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

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)

nickpoison /Stochastic-Volatility-Models

R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"

compops /gpo-smc-abc

Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods

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.

vlad-perederiy /mean-rev_SABR-based_models

Closed-form solutions and fast calibration & simulation for SABR-based models with mean-reverting stochastic volatility

andreperez /Stochastic-Oscilators-Collection

This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.

enesozi /Option-Pricing-Stochastic-Volatility

该项目在 GitHub 上没有填写描述

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)

SarcasticMatrix /particles-svpy

该项目在 GitHub 上没有填写描述