Heston models: pricing, calibration, hedging.
Project description
hestonpy
hestonpy is now avalaible on PyPi !
pip install hestonpy
The hestonpy Python package implements the Heston and Black-Scholes models for option pricing and portfolio management. The package also includes functionality for optimal portfolio allocation using stochastic control techniques.
Covered topics by the hestonpy package [TO DO: calibration on iv surface + SVJ simulations/monte carlo]:
- path simulations
- pricing plain european vanilla options
- model calibration (smile) from yahoo finance and personnal data
- SVI implementation
- asset allocations (stochastic optimal control under Heston dynamics)
License
hestonpy was created by Théophile SCHMUTZ (@SarcasticMatrix). It is licensed under the terms of the MIT license.
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
Built Distribution
Filter files by name, interpreter, ABI, and platform.
If you're not sure about the file name format, learn more about wheel file names.
Copy a direct link to the current filters
File details
Details for the file hestonpy-0.6.0.tar.gz.
File metadata
- Download URL: hestonpy-0.6.0.tar.gz
- Upload date:
- Size: 31.9 kB
- Tags: Source
- Uploaded using Trusted Publishing? Yes
- Uploaded via: twine/6.1.0 CPython/3.13.12
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 |
7e000767328d952334fe0e802b39f239d0ee219d8f9acebe4fd2f637f7c0b2db
|
|
| MD5 |
a18ead35a5a2bcf64b60c838b359451a
|
|
| BLAKE2b-256 |
1d61a0751f7ea598ee4ccb9376a167b49133f4405074aa065533a0c85b902837
|
Provenance
The following attestation bundles were made for hestonpy-0.6.0.tar.gz:
Publisher:
python-publish.yml on SarcasticMatrix/hestonpy
-
Statement:
-
Statement type:
https://in-toto.io/Statement/v1 -
Predicate type:
https://docs.pypi.org/attestations/publish/v1 -
Subject name:
hestonpy-0.6.0.tar.gz -
Subject digest:
7e000767328d952334fe0e802b39f239d0ee219d8f9acebe4fd2f637f7c0b2db - Sigstore transparency entry: 1644815081
- Sigstore integration time:
-
Permalink:
SarcasticMatrix/hestonpy@9555965cdae70b5c712467af5ff58db60a692357 -
Branch / Tag:
refs/tags/v0.6.0 - Owner: https://github.com/SarcasticMatrix
-
Access:
public
-
Token Issuer:
https://token.actions.githubusercontent.com -
Runner Environment:
github-hosted -
Publication workflow:
python-publish.yml@9555965cdae70b5c712467af5ff58db60a692357 -
Trigger Event:
push
-
Statement type:
File details
Details for the file hestonpy-0.6.0-py3-none-any.whl.
File metadata
- Download URL: hestonpy-0.6.0-py3-none-any.whl
- Upload date:
- Size: 42.2 kB
- Tags: Python 3
- Uploaded using Trusted Publishing? Yes
- Uploaded via: twine/6.1.0 CPython/3.13.12
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 |
484f7168e5282b99f410fcf6b216c751e13af648521b7829596c1882d869b79e
|
|
| MD5 |
7fbd024ded1e803a0c0142a79d027075
|
|
| BLAKE2b-256 |
4186448cdfdc336caa489d16fd7963575aa6c3abfcf8f266fd920a38617112ae
|
Provenance
The following attestation bundles were made for hestonpy-0.6.0-py3-none-any.whl:
Publisher:
python-publish.yml on SarcasticMatrix/hestonpy
-
Statement:
-
Statement type:
https://in-toto.io/Statement/v1 -
Predicate type:
https://docs.pypi.org/attestations/publish/v1 -
Subject name:
hestonpy-0.6.0-py3-none-any.whl -
Subject digest:
484f7168e5282b99f410fcf6b216c751e13af648521b7829596c1882d869b79e - Sigstore transparency entry: 1644815208
- Sigstore integration time:
-
Permalink:
SarcasticMatrix/hestonpy@9555965cdae70b5c712467af5ff58db60a692357 -
Branch / Tag:
refs/tags/v0.6.0 - Owner: https://github.com/SarcasticMatrix
-
Access:
public
-
Token Issuer:
https://token.actions.githubusercontent.com -
Runner Environment:
github-hosted -
Publication workflow:
python-publish.yml@9555965cdae70b5c712467af5ff58db60a692357 -
Trigger Event:
push
-
Statement type:
