sinjay Goto Github PK

arctic

High performance datastore for time series and tick data

arcticdb

blp

Pythonic interface for Bloomberg Open API

calibrating-rough-volatility-models-with-deep-learning

This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.

dupirenn

Neural network local volatility with dupire formula

eikondataapi

example-app-commenting

A Streamlit app to show how you can easily empower viewers to comment and collaborate on your app using a commenting component. The comments are hosted on a Google Sheets.

example.datalibrary.python

Example projects and Tutorials demonstrating access to the Refinitiv Data Platform using the Refinitiv Data Library for Python

examples.rdp.python.findingoptionrics

extended_rbergomi

Extension of the rough Bergomi model which decouples smile and skew explosion rates.

fastamericanoptionpricing

Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

har-rv-1

A python-based implementation of the HAR model to forecast realized volatility on SPY.

lead-lag

Estimation of the lead-lag parameter from non-synchronous data.

leet_code

leet code

localvolatility

machine-learning---option-pricing-calibration-hedging--

Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging

neural-network-based-har-models

R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.

neural-spx-vix-calibration

nn-stochvol-calibrations

We implement the paper: Deep Learning Volatility

open-api-v3-sdk

OKEx Open REST Api V3 Sdk, supported language: Java, Python, C#, C++, Go

optionchainstream

Live streaming option chain for equity derivatives using Kite connect Websocket based on redis.

optionmodels

Pricing and calibration models

optiver-trading-close

py_lets_be_quickly_rational

Numba accelerated python library to calculate various black scholes equations

py_vollib_vectorized

A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.

pyfeng

Python Financial ENGineering (PyFENG package in PyPI.org)

pyfengforpapers

Python Code for Quantitative Finance Papers

rbergomi

C++ implementation of rBergomi model

rough_bergomi

A Python implementation of the rough Bergomi model.