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variance-swap

Here are 6 public repositories matching this topic...

jkirkby3 / PROJ_Option_Pricing_Matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Updated Nov 19, 2024
MATLAB

danielmenno / gpr-variance-swaps

This repository contains some of the implementations related to my master thesis under supervision of Prof Josef Teichmann at ETH Zurich.

machine-learning gaussian-processes mathematical-finance computational-finance variance-swap

Updated Jun 22, 2021
Jupyter Notebook

FlashAlpha-lab / volatility-surface-python

Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.

python options quantitative-finance implied-volatility greeks realized-volatility svi variance-swap volatility-surface term-structure arbitrage-detection options-analytics volatility-skew

Updated Jun 16, 2026
Python

Idriss-Afra / Heston-Stochastic-Volatility-Model

This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.

python jupyter-notebook model-calibration stochastic-volatility-models fourier-methods heston-model options-pricing volatility-modeling characteristic-functions variance-swap stochastic-volatility options-calculator equity-derivatives quant-finance heston-stochastic-volatility volatility-swap

Updated Mar 20, 2026
Jupyter Notebook

tongo823 / Fader

Adjust individual app volume levels on macOS with this lightweight volume mixer.

react fader arduino midi carousel spinner option-pricing quantitative-finance pid-control fourier-transform sabr bermudan-option lookback-option variance-swap barrier-option quant-finance capacitive-touch

Updated Jul 19, 2026
Swift

unassignable-megalomaniac359 / fader

Manage macOS audio output and set individual app volume levels from your menu bar using this tool.

fader slideshow slide deep-learning derivatives quantitative-finance loaders motor-controller american-options stochastic-volatility-models black-scholes loading-overlay european-options fader-networks asian-option bermudan-option lookback-option variance-swap capacitive-touch

Updated Jul 19, 2026
Swift

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