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ArturSepp
StochVolModels ArturSepp
31
140
gpl-3.0
3
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
python heston-model option-pricing fourier-transform volatility-modeling quantitative-finance stochastic-processes stochastic-volatility monte-carlo-simulation heston-stochastic-volatility lognormal-stochastic-volatility
Created 2022-08-03
46 commits to main branch, last one 20 days ago
jkirkby3
fypy jkirkby3
22
79
mit
6
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financi...
levy sabr quant heston python finance fourier pricing calibration black-scholes levy-processes option-pricing variance-gamma options-pricing quantitative-finance quantitative-trading stochastic-volatility
Created 2021-04-24
234 commits to master branch, last one about a month ago