kstarek / pyfengforpapers

Python Code for Quantitative Finance Papers

PyfengForPapers

PyfengForPapers hosts a collection of the Py notebooks (.ipynb) that use PyFENG package to reproduce the results of financial engineering papers. This repository aims to help researchers by providing a replication for published papers. The installation of PyFENG is required.

PyFENG Installation

• For the first-time installation,

  pip install pyfeng

• For an upgrade,

  pip install --upgrade pyfeng

• If running on your modified implementation,
  • Make a local copy of PyFENG repository by forking or download.
  • Make necessary modifications.
  • Uncomment the following lines in the beginning of notebook file. Then, the local PyFENG will be used.

    %load_ext autoreload
    %autoreload 2

    import sys
    sys.path.insert(sys.path.index('')+1, 'PATH_TO_LOCAL_PYFENG')

List of Implemented Papers

• Notebook | Choi, J., & Chen, R. (2022). Improved iterative methods for solving risk parity portfolio. Journal of Derivatives and Quantitative Studies, 30(2), 114-124. DOI:10.1108/JDQS-12-2021-0031 (Open Access) [arXiv].
• Notebook | Choi, J. et al. (2022). A Black-Scholes user's guide to the Bachelier model. Journal of Futures Markets, 42(5), 959-980. DOI:10.1002/fut.22315 [arXiv]
• Notebook | Choi, J., & Wu, L. (2021). A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics.' Quantitative Finance, 21, 1083. DOI:10.1080/14697688.2021.1876908 [arXiv]
• Notebook | Choi, J., & Wu, L. (2021). The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. Journal of Economic Dynamics and Control, 128, 104143. DOI:10.1016/j.jedc.2021.104143 [arXiv]
• Notebook | Krekel, M., de Kock, J., Korn, R., & Man, T.-K. (2004). An analysis of pricing methods for basket options. Wilmott Magazine, 2004(7), 82–89.
• Notebook | Several SABR Model papers by Antonov and co-authors.
  • Antonov, A., & Spector, M. (2012). Advanced analytics for the SABR model. [SSRN]
  • Antonov, A., Konikov, M., & Spector, M. (2013). SABR spreads its wings. Risk, 2013(Aug), 58–63.
  • Antonov, A., Konikov, M., & Spector, M. (2019). Modern SABR Analytics. Springer International Publishing. DOI:10.1007/978-3-030-10656-0
• Notebook | Choi, J., Liu, C., & Seo, B. K. (2019). Hyperbolic normal stochastic volatility model. Journal of Futures Markets, 39(2), 186–204. DOI:10.1002/fut.21967 [arXiv]
• Notebook | Ball CA, Roma A (1994) Stochastic Volatility Option Pricing. Journal of Financial and Quantitative Analysis 29:589–607. DOI:10.2307/2331111
• Notebook | Schöbel R, Zhu J (1999) Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension. Review of Finance 3:23–46. DOI:10.1023/A:1009803506170
• Coming Soon | Choi J (2018) Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options. Journal of Futures Markets, 38:627–644. DOI:10.1002/fut.21909