grinisrit/noa issues and pull requests

#100 - JulyVersion

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

#100 - JulyVersion

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

#99 - Simulation of correlated GBM paths. Minor improvements.

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

#99 - Simulation of correlated GBM paths. Minor improvements.

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

#98 - FX-HLMM

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

#98 - FX-HLMM

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

#97 - Update Gamma, Volga, Vanna

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

#97 - Update Gamma, Volga, Vanna

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

#96 - Vanna, gamma, Volga

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

#96 - Vanna, gamma, Volga

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

#95 - d^2sigma/d_alpha^2

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

#95 - d^2sigma/d_alpha^2

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

#94 - Butterfly, RR, strangle

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

#94 - Butterfly, RR, strangle

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

#93 - New SABR + fixed delta strike finding

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

#93 - New SABR + fixed delta strike finding

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

#92 - Refactoring + minor improvements.

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

#92 - Refactoring + minor improvements.

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

#91 - feat: Optimization with epsilon and nb.njut to vol

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

#91 - feat: Optimization with epsilon and nb.njut to vol

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

#90 - Real time plotting of sabr calibration

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

#90 - Real time plotting of sabr calibration

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

#89 - feature/quant

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

#89 - feature/quant

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

#88 - Add kega: dC/dK

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

#88 - Add kega: dC/dK

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

#87 - Gamma sabr + sanity check + ohlc

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

#87 - Gamma sabr + sanity check + ohlc

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

#86 - feat: Simplify case beta<1 formulas for SABR

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

#86 - feat: Simplify case beta<1 formulas for SABR

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

#85 - Add sympy SABR formulas calculations

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

#85 - Add sympy SABR formulas calculations

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

#84 - Update SABR formulas with greeks

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

#84 - Update SABR formulas with greeks

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

#83 - feat: Update sabr Obloj with PNL and greeks

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

#83 - feat: Update sabr Obloj with PNL and greeks

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

#82 - Fix naming

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

#82 - Fix naming

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

#81 - Python implementation of Heston simulation

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

#81 - Python implementation of Heston simulation

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

#80 - Feature/quant

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

#80 - Feature/quant

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

#79 - Feature/quant

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

#79 - Feature/quant

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

#78 - LSM

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

#78 - LSM

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

#77 - MC pricing of barrier options

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

#77 - MC pricing of barrier options

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

#76 - Heston simulation: drift, regularity condition, comparison of moments, comparison of MC pricing with QuantLib

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

#76 - Heston simulation: drift, regularity condition, comparison of moments, comparison of MC pricing with QuantLib

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

#75 - Collect all materials

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

#75 - Collect all materials

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

#74 - C++ BSM implementation. Fix bug and docstrings in bsm.ipynb

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

#74 - C++ BSM implementation. Fix bug and docstrings in bsm.ipynb

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

#73 - Add comparison of DQC-autograd-only and partial-derivatives-calculati…

Pull Request - State: closed - Opened by ruthenium96 almost 2 years ago

#73 - Add comparison of DQC-autograd-only and partial-derivatives-calculati…

Pull Request - State: closed - Opened by ruthenium96 almost 2 years ago

#72 - Various fixes in bsm.ipynb

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

#72 - Various fixes in bsm.ipynb

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

#71 - Time of autograd in DQC

Pull Request - State: closed - Opened by ruthenium96 almost 2 years ago

#71 - Time of autograd in DQC

Pull Request - State: closed - Opened by ruthenium96 almost 2 years ago

#70 - Feature/quant

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

#70 - Feature/quant

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

#69 - SABR by Obloj

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

#69 - SABR by Obloj

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

#68 - Make mass_lumping work with OpenMP

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

#68 - Make mass_lumping work with OpenMP

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

#67 - Uniform notation in heston.ipynb

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

#67 - Uniform notation in heston.ipynb

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

#66 - Update heston and add notebook

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

#66 - Update heston and add notebook

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

#65 - Implied Vol algorithm

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

#65 - Implied Vol algorithm

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

#64 - CFD notebook open beta :)

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

#64 - CFD notebook open beta :)

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

#63 - Feature/quant

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

#63 - Feature/quant

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

#62 - fix: Fix delta counting

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

#62 - fix: Fix delta counting

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

#61 - Fix typos

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

#61 - Fix typos

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

#60 - feat: Add delta formula to heston.ipynb

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

#60 - feat: Add delta formula to heston.ipynb

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

#59 - Fix typos

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

#59 - Fix typos

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

#58 - Fix typos

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

#58 - Fix typos

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

#57 - Fix/heston numba fixes

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

#57 - Fix/heston numba fixes

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

#56 - Load code via pytorch extension. Brushing up.

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

#56 - Load code via pytorch extension. Brushing up.

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

#55 - Heston simulation with Andersen QE Scheme

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

#55 - Heston simulation with Andersen QE Scheme

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

#54 - Update TNL (master-staging)

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

#54 - Update TNL (master-staging)

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

#53 - Corrected typesetting, typos

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

#53 - Corrected typesetting, typos

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

#52 - improvements of deribit bot

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

#52 - improvements of deribit bot

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

#51 - improvements of deribit bot

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

#51 - improvements of deribit bot

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

GitHub / grinisrit/noa issues and pull requests