stochastic-volatility topic

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...

jkirkby3

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

ArturSepp

Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).

johncollinsai