PyFE/PyFENG issues and pull requests

#185 - American Option

Pull Request - State: closed - Opened by jaehyukchoi 4 months ago

#184 - SABR model update

Pull Request - State: closed - Opened by jaehyukchoi 4 months ago

#183 - FFT method for GARCH diffusion

Pull Request - State: closed - Opened by jaehyukchoi 5 months ago

#182 - GarchFftWuMaWang2012 added

Pull Request - State: closed - Opened by jaehyukchoi 5 months ago

#181 - Merged standard prices to price_std

Pull Request - State: closed - Opened by jaehyukchoi 5 months ago

#180 - Bug fixed in CGMY FFT model

Pull Request - State: closed - Opened by jaehyukchoi 5 months ago

#179 - Use Math Functions

Pull Request - State: closed - Opened by jaehyukchoi 6 months ago

#178 - Corrected the Gauss-Jacobi quadrature

Pull Request - State: closed - Opened by jaehyukchoi 9 months ago

#177 - Create classes on rough Heston MC simulation

Pull Request - State: closed - Opened by RickChauYanChak 9 months ago

#176 - implied volatility problem

Issue - State: closed - Opened by aupilot 10 months ago - 1 comment

#175 - Variance swap for Heston model

Pull Request - State: open - Opened by Loiser 10 months ago

#174 - New CGMY_New class

Pull Request - State: closed - Opened by jaehyukchoi 10 months ago - 1 comment

#173 - New SABR model with EllipE integral

Pull Request - State: closed - Opened by jaehyukchoi 11 months ago

#172 - Update README.md

Pull Request - State: closed - Opened by jaehyukchoi about 1 year ago

#171 - Cumulative Changes on SABR and BS models

Pull Request - State: closed - Opened by jaehyukchoi about 1 year ago

#170 - Cumulative Changes So Far

Pull Request - State: closed - Opened by jaehyukchoi over 1 year ago

#169 - Upper bound of price-to-delta implemented. Used np.log1p function

Pull Request - State: closed - Opened by jaehyukchoi over 1 year ago

#168 - Merge branch 'main' into sabr

Pull Request - State: closed - Opened by jaehyukchoi over 1 year ago

#167 - Improved Norm

Pull Request - State: closed - Opened by jaehyukchoi over 1 year ago

#166 - Various Improvements

Pull Request - State: closed - Opened by jaehyukchoi over 1 year ago

#165 - Various improvements

Pull Request - State: closed - Opened by jaehyukchoi over 1 year ago

#164 - Update bsm.py

Pull Request - State: closed - Opened by JordanPlatts almost 2 years ago

#163 - Numpy asscalar deprecation

Issue - State: closed - Opened by JordanPlatts almost 2 years ago

#162 - Implemented standardized (and fast) BS routines

Pull Request - State: closed - Opened by jaehyukchoi about 2 years ago

#161 - Added SABR related implementions

Pull Request - State: closed - Opened by jaehyukchoi about 2 years ago

#160 - Rheston sunan

Pull Request - State: closed - Opened by jaehyukchoi about 2 years ago

#159 - rHestonFFT

Pull Request - State: closed - Opened by Baiwisher about 2 years ago

#158 - rollback

Pull Request - State: closed - Opened by Baiwisher about 2 years ago

#157 - Rheston sunan

Pull Request - State: closed - Opened by jaehyukchoi about 2 years ago

#156 - FastHybrid

Pull Request - State: closed - Opened by Baiwisher about 2 years ago

#155 - Refactoring model names

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#154 - Cumulative Changes in SV models

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#153 - add a faster pricing function...

Pull Request - State: closed - Opened by qwq-cwq over 2 years ago

#152 - Update snowball.py

Pull Request - State: closed - Opened by pkuWu over 2 years ago

#151 - **kwargs setting params

Pull Request - State: closed - Opened by pkuWu over 2 years ago - 1 comment

#150 - snowball group 2 code

Pull Request - State: closed - Opened by qwq-cwq over 2 years ago

#149 - snow ball third commit

Pull Request - State: closed - Opened by pkuWu over 2 years ago

#148 - snow ball option

Pull Request - State: closed - Opened by pkuWu over 2 years ago - 1 comment

#147 - snow ball second commit

Pull Request - State: closed - Opened by pkuWu over 2 years ago - 1 comment

#146 - snow ball first commit

Pull Request - State: closed - Opened by pkuWu over 2 years ago - 1 comment

#145 - RoughHeston

Pull Request - State: closed - Opened by Baiwisher over 2 years ago

#144 - RoughHestonModel

Pull Request - State: closed - Opened by Baiwisher over 2 years ago

#143 - roughHeston

Pull Request - State: closed - Opened by Baiwisher over 2 years ago

#142 - Cumulative changes on SV models

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#141 - Various changes in the SV/SABR models.

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#140 - Better to fix random number seed (`rn_seed`) by default?

Issue - State: open - Opened by jaehyukchoi over 2 years ago

#139 - Heston MC cumulatiative changes so far

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#138 - Quadrature from moments

Issue - State: open - Opened by jaehyukchoi over 2 years ago

#137 - Update setup.py

Pull Request - State: closed - Opened by daifengqi over 2 years ago

#136 - Asian option creator to Basket option class

Issue - State: open - Opened by jaehyukchoi over 2 years ago

#135 - Ball & Roma (1994) implemented

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#134 - Heston mc

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#133 - Heston mc

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#132 - Implementation of SumBSM Choi (2018)

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#131 - minor changes

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#130 - OUSV updates

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#129 - Ousv mc

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#128 - Heston mc

Pull Request - State: closed - Opened by jaehyukchoi over 2 years ago

#127 - Oosterlee's COS method for European Option

Issue - State: open - Opened by jaehyukchoi almost 3 years ago

#126 - Abate & Whitt algorithm

Issue - State: open - Opened by jaehyukchoi almost 3 years ago

#125 - 3/2 model improved

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#124 - Improved FFT, Added test stes

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#123 - Update assetalloc_2.py

Pull Request - State: closed - Opened by lililiyf almost 3 years ago

#122 - create garch_2.py and modify init.py

Pull Request - State: closed - Opened by Harveydentsun almost 3 years ago

#121 - Update rheston_mc.py

Pull Request - State: closed - Opened by Baiwisher almost 3 years ago

#120 - Lifted Heston Model

Pull Request - State: closed - Opened by Cecilia525 almost 3 years ago - 1 comment

#119 - Update assetalloc_2.py

Pull Request - State: closed - Opened by lililiyf almost 3 years ago

#118 - Add function cache / memoization

Issue - State: closed - Opened by jaehyukchoi almost 3 years ago - 1 comment

#117 - Update sv32_mc.py

Pull Request - State: closed - Opened by AHrmnd almost 3 years ago

#116 - FFT Price Improvement

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#115 - Variance Gamma / Exponential NIG models

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#114 - FFT methods for Heston and BSM

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#113 - liftedheston py code and report

Pull Request - State: closed - Opened by jyyccc almost 3 years ago

#112 - Asp ballroma94

Pull Request - State: closed - Opened by zwc00098 almost 3 years ago

#111 - Asp 32sv

Pull Request - State: closed - Opened by AHrmnd almost 3 years ago

#110 - Update assetalloc_2.py

Pull Request - State: closed - Opened by lililiyf almost 3 years ago - 1 comment

#109 - Revert "Asp risk-parity-project-fully-version-1.0"

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#108 - Asp 32sv

Pull Request - State: closed - Opened by AHrmnd almost 3 years ago - 1 comment

#107 - Asp risk-parity-project-fully-version-1.0

Pull Request - State: closed - Opened by lililiyf almost 3 years ago - 1 comment

#106 - Asp riskparity

Pull Request - State: closed - Opened by lililiyf almost 3 years ago - 1 comment

#105 - Heston MC

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#104 - Garch model with the approximation_220421

Pull Request - State: closed - Opened by JiahaoYuQFin almost 3 years ago

#103 - project_submit_1

Pull Request - State: closed - Opened by lililiyf almost 3 years ago - 1 comment

#102 - Add file ex.py

Pull Request - State: closed - Opened by zwc00098 almost 3 years ago - 1 comment

#101 - Add file ousv.py with methods in Ball & Roma(1994) and Stein & Stein(1991)

Pull Request - State: closed - Opened by zwc00098 almost 3 years ago - 1 comment

#100 - ousv.py(option pricing method by Ball and Roma, 1994 and results)

Pull Request - State: closed - Opened by zwc00098 almost 3 years ago - 3 comments

#99 - Implement options on realized variance

Issue - State: open - Opened by jaehyukchoi almost 3 years ago

#98 - Implement approximate IV for the Heston and 3/2 models

Issue - State: open - Opened by jaehyukchoi almost 3 years ago

#97 - Ma J, Wu H (2021) Replication

Pull Request - State: closed - Opened by polarbluebear almost 3 years ago - 1 comment

#96 - Ma J, Wu H (2021) Replication

Pull Request - State: closed - Opened by polarbluebear almost 3 years ago - 1 comment

#95 - Heston Exact MC code changes

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#94 - Heston/OUSV MC changes so far

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#93 - Bug fix

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#92 - Reorganized Garch. Removed vol_paths

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#91 - SV model changes so far

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#90 - OUSV simulation

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#89 - Update requirements.txt

Pull Request - State: closed - Opened by daifengqi almost 3 years ago

#88 - Name refactoring

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#87 - SabrMcExactCai2017 class

Pull Request - State: closed - Opened by jaehyukchoi almost 3 years ago

#86 - SabrMcExactCai2017

Issue - State: closed - Opened by jaehyukchoi almost 3 years ago

GitHub / PyFE/PyFENG issues and pull requests