{"repo":"ArturSepp/StochVolModels","free":true,"listed":false,"github":"https://github.com/ArturSepp/StochVolModels","clone":"git clone https://github.com/ArturSepp/StochVolModels.git","description":"Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston","language":"Python","stars":232,"topics":["option-pricing","python","quantitative-finance","stochastic-processes","volatility-modeling","heston-model","heston-stochastic-volatility","stochastic-volatility","lognormal-stochastic-volatility","fourier-transform"],"license":"MIT","category":"trading","readme_excerpt":"StochVolModels ( stochvolmodels ) stochvolmodels provides Fourier-transform pricing, Monte Carlo validation, and calibration of European options under stochastic-volatility models in Python. It is a focused research and practitioner library, not a general derivatives platform: the stable workflows cover European vanilla and related variance analytics under Heston and the Karasinski-Sepp log-normal stochastic-volatility model. Paper: Sepp, A. and Rakhmonov, P. (2023), Log-normal stochastic volatility model with quadratic drift , International Journal of Theoretical and Applied Finance, 26(8). See Citation for the full BibTeX list. Documentation: stochvolmodels.readthedocs.io · offline quickstart · LogSV quickstart in Colab --- Why stochvolmodels stochvolmodels is the reference implementation of the Karasinski-Sepp log-normal beta stochastic volatility model, maintained by one of the model's originators, with the Heston model implemented alongside as a benchmark. The design goal is a single generic interface for a stochastic volatility model — a closed-form moment generating function for Fourier-transform pricing on one side, Monte Carlo dynamics on the other — so that analytic prices, simulated prices, and calibrated implied volatilities are directly comparable model to model. The same analytics power the research: the papers module reproduces the computations and figures of five papers, from the quadratic-drift log-normal SV model (IJTAF) to cryptocurrency inverse options (Qu","default_branch":null,"files":null,"tree":[],"storefront":"/r/ArturSepp","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/ArturSepp/StochVolModels/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}