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american-option-pricing----trinomial-model

American-Option-Pricing Using Trinomial-Model (Recursion)

arbitrage-free-svi-volatility-surfaces

"An example SVI calibration recipe", Gatheral & Jacquire (2014), available at https://arxiv.org/abs/1204.0646v4

avellaneda-stoikov

Avellaneda-Stoikov HFT market making algorithm implementation

avellaneda-stoikov-1

Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov

barone-adesi-whaley-american-option-approximation

deep-portfolio-management

Source code for the blog post on the evolution of the asset allocation methods

european-options-on-spx-pnl-attribution

We aim to price a European call option on the SPX and calculate a set of risk measures.

fastamericanoptionpricing

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

gbm-stochastic-volatility

hestonlmontecarlo-impliedvolsurfaceconstruction

simulation of Heston model by Monte-Carlo method

hft

High Frequency Market Making

hftframework

Market making algorithmic trading framework used to test reinforcement learning on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm "

implied-volatility-smirk-trading

The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return

lob-feature-analysis

Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.

multi-asset-options-pricer

European Options Pricer for Equity Index, FX, Interest Rate Swaptions and CDS Swaptions

opendata

开源的金融投资数据提取工具，专注在各类网站上爬取数据，并通过简单易用的API方式使用

option-crr-binomial

二叉树、CRR、期权定价、美式期权、欧式期权

option-greeks

Wrapper for Davis' Edwards excellent options valuation python code

option-hedging-strategy-modeling-based-on-time-value

Python code for a trading strategy based on time value performed in the SSE 50ETF option market.

options-market-making

A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging

options-market-making-1

options-market-making-using-a-stochastic-control-approach

Options market making using a stochastic control approach

options-pricing-through-feedforward-neural-networks-and-application-to-sse-50-etf-options_xiuyuan

master thesis code

pairtrading_copula_backtrader

This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtrader under Python

poboquant

quant strategy backtesting from pobo financial

python_option_pricing

An libary to price financial options written in Python. Includes: Black Scholes, Black 76, Implied Volatility, American, European, Asian, Spread Options

qlib

Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment. With Qlib, you can easily try your ideas to create better Quant investment strategies. An increasing number of SOTA Quant research works/papers are released in Qlib.

quant-trading-strategy

quantlib

The QuantLib C++ library

sabr-implied-volatility

SABR Implied volatility asymptotics