Use of LSTM to predict the implied volatility skew in financial markets
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Updated
Apr 9, 2024 - Python
Use of LSTM to predict the implied volatility skew in financial markets
This project examines the relationship between news sentiment and implied volatility and determines whether there is a significant correlation between the two
Volatility Model Documentation
Financial Math
Options pricing with JAX.
Computing implied volatility by Newton-Raphson method
Trading Information is a repository for collecting and organizing various trading information, including futures specifications and other relevant data.
Python client for your pricing web service
Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD
Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.
🦋An OpenBB Platform Extension to connect to ORATS 🦋
financial derivatives
Binomial Tree Pricer
Data and program associated with "Predicting equity premium with implied volatility spreads" by Cao, Simin, and Xiao, Journal of Financial Markets, 2020
C# pricer that allows users to price a wide range of financial products.
In this repo you will find some tools related to pricing and risk measurement of options. You can find tools to calculate the price of an option like de Black-Scholes or Heston Model, or to get implied volatilities.
Examples demonstrating the NAG Numerical Library for Java
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