cgmy

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Diljit22 / optpricing

Pricing & calibration engine (15+ models; API + CLI + Streamlit UI)

fast-fourier-transform option-pricing stochastic-differential-equations jump-diffusion variance-reduction black-scholes monte-carlo-methods implied-volatility derivatives-pricing hyperbolic sabr-model cgmy heston-stochastic-volatility kou-jump-diffusion bates-model carr-madan cev-model

Updated Jul 28, 2025
Python

mohin-io / Fractional-PDEs-and-Levy-Processes-An-ML-Approach

Star

This project builds a fast, intelligent calibration engine for advanced asset pricing models. Standard Black-Scholes breaks down under real markets with fat tails and jumps, but Lévy models (Variance Gamma, CGMY) are too slow and unstable to calibrate with classical methods.

machine-learning deep-neural-networks tensorflow keras calibration option-pricing quantitative-finance mcmc variational-inference stochastic-processes asset-pricing variance-gamma levy-processes fourier-methods financial-machine-learning cgmy variance-gamma-process fractional-pde cgmy-model

Updated Nov 16, 2025
Python

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