{"repo":"junsu489/volatility_arbitrage","free":true,"listed":false,"github":"https://github.com/junsu489/volatility_arbitrage","clone":"git clone https://github.com/junsu489/volatility_arbitrage.git","description":"volatility arbitrage in Heston model","language":"Jupyter Notebook","stars":72,"topics":["trading","volatility","arbitrage"],"license":null,"category":"trading","readme_excerpt":"Volatility arbitrage in the Heston model Lee, R. (2010). Weighted variance swap. Encyclopedia of quantitative finance. Neuberger, A. (1994). The log contract. Journal of portfolio management, 20(2), 74. Neuberger, A. (2012). Realized skewness. The Review of Financial Studies, 25(11), 3423-3455. Fukasawa, M. (2014). Volatility derivatives and model-free implied leverage. International Journal of Theoretical and Applied Finance, 17(01), 1450002.","default_branch":null,"files":null,"tree":[],"storefront":"/r/junsu489","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/junsu489/volatility_arbitrage/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."}