bates-model

Here are 3 public repositories matching this topic...

kirillzx / Generalized-Bates-model-draft

📚SDE research and modelling in Finance📚

option-pricing stochastic-differential-equations stochastic-processes european-options heston-model characteristic-functions cos-method stochastic-correlation bates-model backward-kolmogorov-equations

Updated Jun 3, 2024
Jupyter Notebook

Rakeshks7 / Bates-FX-Jump-Diffusion

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A Python-based Monte Carlo pricing engine for FX derivatives, implementing the Bates Model (Stochastic Volatility + Jump-Diffusion) to account for geopolitical liquidity shocks and fragmented market architecture.

python monte-carlo jump-diffusion stochastic-volatility-models macroeconomics financial-engineering derivatives-pricing quant-finance bates-model

Updated Mar 16, 2026
Python

Diljit22 / optpricing

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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

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