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 54 (last one 16 days ago)

Stargazers 151 (1 this week)

Watchers 5 (0 this week)

Forks 31

License gpl-3.0

Ranking

RepositoryStats indexes 609,066 repositories, of these ArturSepp/StochVolModels is ranked #225,567 (63rd percentile) for total stargazers, and #338,640 for total watchers. Github reports the primary language for this repository as Python, for repositories using this language it is ranked #41,241/122,846.

ArturSepp/StochVolModels is also tagged with popular topics, for these it's ranked: python (#10,358/22729), quantitative-finance (#121/208)

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

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The only known language in this repository is Python

updated: 2025-01-30 @ 10:57am, id: 520908687 / R_kgDOHwxvjw