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

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 financial models to market data.

A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

R Finance packages not listed in the Empirical Finance Task View

Financial analysis and demonstration of the classic algorithmic trading method, pair trading. This analysis compares the portfolio's growth with the underlying assets value and volatility over time.

Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching and Time-Varying Identification of the Structural Matrix

Stochastic Volatility Estimated by MCMC (Markov Chain Monte Carlo) Method

TVP-GVAR-FSVM model proposed in "Measuring international uncertainty using global vector autoregressions with drifting parameters"

R Time series packages not included in CRAN Task View: Time Series Analysis

This repository provides TensorFlow compatible code for some stochastic volatility models widely used in derivatives pricing.

Investigating Wiener Processes

American and European options pricer web app build with Flask and React

Financial Engineering in IRFX in C++

Simulate from and fit a discrete-time autoregressive log stochastic volatility model

Discretize VAR(1) of arbitrary size, with arbitrary covariance matrix for innovations, and optional stochastic volatility.

implement Heston model, which describe stochastic volatility.

Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks

An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices and maturities. We also show that the Heston model captures volatility smiles/smirks/skews.