Stochastic volatility option pricing

$250-750 USD

Закрито

Опублікований

over 4 years ago

$250-750 USD

Оплачується при отриманні

I'm looking for someone to implement the following pieces in python: Rough volatility path generator: [login to view URL] [login to view URL] HAR-RV volatility path generator: [login to view URL]~hauser/LVs/FinEtricsQF/References/[login to view URL] Pricing American Options and European equity options using those (RF and dividend rates). Greeks derivations (delta,gamma,vega,theta) Implied volatility and parameter estimation from prices for american and european options. Most of the implementations already exist in some scattered form on github. I'm looking for a holistic delivery under one code base and style guide with detailed comments and explanation on the choices made. Bonus points if you can just implement a new "process" in Quantlib and reuse the Monte Carlo pricing engines there to work off of the new paths. Happy to clarify if you have any particular questions on the requirements as they are pretty high level. Keep in mind previous practical experience with quantitative finance or applied math is a must. References and ideas: [login to view URL] [login to view URL] [login to view URL] [login to view URL] [login to view URL] [login to view URL]

ID проекту: 21514921

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Активність 5 yrs ago

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@williams115

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