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The Top 10 Stochastic Volatility Models Open Source Projects

Open source projects categorized as Stochastic Volatility Models
Categories > Stochastic Volatility Models
Torchsde ⭐ 1,357
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
dependent packages 10total releases 2most recent commit 7 months agopypi torchsde} Downloads
Stochastic ⭐ 317
Generate realizations of stochastic processes in python.
dependent packages 10total releases 7most recent commit a year agopypi stochastic} Downloads
Proj_option_pricing_matlab ⭐ 115
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
most recent commit 10 months ago
Pmh Tutorial ⭐ 15
Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
most recent commit 5 years ago
Drop Fixed Income ⭐ 14
DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analyt
most recent commit 6 years ago
Sde ⭐ 10
Numerical experiments with stochastic differential equations in Haskell
most recent commit 5 years ago
Heston ⭐ 9
Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.
most recent commit 7 years ago
Stochastic Volatility Models ⭐ 8
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
most recent commit a year ago
Mcmc Estimation Of Stochastic Differential Equations Papers ⭐ 8
A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)
most recent commit 6 years ago
Gpo Smc Abc ⭐ 7
Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
most recent commit 6 years ago
The 2 Most Depended On Stochastic Volatility Models Open Source Projects
Stochastic ⭐ 317
Generate realizations of stochastic processes in python.
dependent packages 10total releases 7latest release July 12, 2022most recent commit a year agopypi stochastic} Downloads
Torchsde ⭐ 1,357
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
dependent packages 10total releases 2latest release September 26, 2023most recent commit 7 months agopypi torchsde} Downloads
The 2 Latest Releases In Stochastic Volatility Models Open Source Projects
Torchsde ⭐ 1,357
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
dependent packages 10total releases 2latest release September 26, 2023most recent commit 7 months agopypi torchsde} Downloads
Stochastic ⭐ 317
Generate realizations of stochastic processes in python.
dependent packages 10total releases 7latest release July 12, 2022most recent commit a year agopypi stochastic} Downloads
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