ArturSepp / StochVolModels

Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

Date Created 2022-08-03 (2 years ago)

Commits 52 (last one about a month ago)

Stargazers 144 (0 this week)

Watchers 4 (0 this week)

Forks 31

License gpl-3.0

Ranking

RepositoryStats indexes 595,856 repositories, of these ArturSepp/StochVolModels is ranked #228,805 (62nd percentile) for total stargazers, and #377,401 for total watchers. Github reports the primary language for this repository as Python, for repositories using this language it is ranked #41,712/119,431.

ArturSepp/StochVolModels is also tagged with popular topics, for these it's ranked: python (#10,472/22324), quantitative-finance (#120/204)

Other Information

Homepage URL: https://github.com/ArturSepp/StochVolModels

All Topics

python heston-model option-pricing fourier-transform volatility-modeling quantitative-finance stochastic-processes stochastic-volatility monte-carlo-simulation heston-stochastic-volatility lognormal-stochastic-volatility

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52 commits on the default branch (main) since jan '22

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Languages

The only known language in this repository is Python

updated: 2024-12-14 @ 06:11am, id: 520908687 / R_kgDOHwxvjw