{"id":28281725,"url":"https://github.com/ferrangarciarovira/var-volatility-models","last_synced_at":"2026-05-02T10:41:18.639Z","repository":{"id":287573877,"uuid":"965161131","full_name":"ferrangarciarovira/VaR-Volatility-Models","owner":"ferrangarciarovira","description":"Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion, SABR and rough volatility.","archived":false,"fork":false,"pushed_at":"2025-05-30T15:24:24.000Z","size":36711,"stargazers_count":1,"open_issues_count":0,"forks_count":0,"subscribers_count":1,"default_branch":"main","last_synced_at":"2025-06-17T00:43:33.691Z","etag":null,"topics":["black-scholes","financial-modeling","jump-diffusion","python","quantitative-finance","rough-volatility","value-at-risk","volatility","volatility-modeling"],"latest_commit_sha":null,"homepage":"","language":"Jupyter Notebook","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"other","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/ferrangarciarovira.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null}},"created_at":"2025-04-12T14:49:21.000Z","updated_at":"2025-05-30T15:24:27.000Z","dependencies_parsed_at":"2025-04-12T15:54:08.875Z","dependency_job_id":"fda748fc-1892-4746-b3d0-80e70489f5d1","html_url":"https://github.com/ferrangarciarovira/VaR-Volatility-Models","commit_stats":null,"previous_names":["ferrangarciarovira/final-year-dissertation---economics---upf"],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/ferrangarciarovira/VaR-Volatility-Models","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ferrangarciarovira%2FVaR-Volatility-Models","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ferrangarciarovira%2FVaR-Volatility-Models/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ferrangarciarovira%2FVaR-Volatility-Models/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ferrangarciarovira%2FVaR-Volatility-Models/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/ferrangarciarovira","download_url":"https://codeload.github.com/ferrangarciarovira/VaR-Volatility-Models/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ferrangarciarovira%2FVaR-Volatility-Models/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":32531742,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-05-02T01:12:54.858Z","status":"online","status_checked_at":"2026-05-02T02:00:05.923Z","response_time":132,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["black-scholes","financial-modeling","jump-diffusion","python","quantitative-finance","rough-volatility","value-at-risk","volatility","volatility-modeling"],"created_at":"2025-05-21T12:13:29.899Z","updated_at":"2026-05-02T10:41:18.620Z","avatar_url":"https://github.com/ferrangarciarovira.png","language":"Jupyter Notebook","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Volatility and Value at Risk: A Comparative Analysis Using Jump, SABR, and Rough Volatility Models\n\nThis repository contains the code and documentation for my Bachelor's Thesis in Economics and Advanced Quantitative Methods at Universitat Pompeu Fabra. The project focuses on estimating the Value at Risk (VaR) of financial instruments using the Black-Scholes model, while comparing how different volatility modeling approaches affect the VaR outcome.\n\n---\n\n## Authors\n\n- Ferran García Rovira  \n- Arnau Reig Caballeria\n- Miquel Muñoz García-Ramos\n\n---\n\n## Project Objective\n\nThe goal is to analyze the predictive power, robustness, and practical implications of estimating volatility using:\n\n- Black Scholes\n- Jump Diffusion models\n- SABR model\n- Rough / Fractional volatility models\n\nWe evaluate how these affect VaR estimation based on real market data.\n\n---\n\n## Methodology\n\n- Theoretical derivation of VaR using the Black-Scholes framework.\n- Implementation of:\n  - **Jump Diffusion Models (Merton and Kou)**\n  - **SABR Model**\n  - **Rough Volatility (using fractional Brownian motion)**\n- Empirical estimation of volatility using Python.\n- Sensitivity analysis and robustness checks of VaR predictions and model performance.\n\n---\n\n## Structure\n```text\n/data/              # Market data used for simulations\n/report/            # Final thesis document and LaTeX drafts\n/results/           # Visualizations and model outputs\nmain.py             # Script to execute full VaR analysis\nREADME.md           # Project overview and instructions\n```\n\n---\n\n## How to Run This Project\n\n### Prerequisites\n\nYou must have **Python 3.9+** installed.\n\n### 1. Clone the repository\n\n```bash\ngit clone https://github.com/ferrangarciarovira/VaR-Volatility-Models.git\ncd VaR-Volatility-Models\n```\n\n### 2. Create a virtual environment and activate it\n```bash\npython -m venv env\nenv\\Scripts\\activate         # Windows\n\n# source env/bin/activate   # Mac/Linux\n```\n\n### 3. Install dependencies\n```bash\npip install -r requirements.txt\n```\n\n### 4. Run the notebook\n```bash\npip install notebook \njupyter notebook\n```\n\n---\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fferrangarciarovira%2Fvar-volatility-models","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fferrangarciarovira%2Fvar-volatility-models","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fferrangarciarovira%2Fvar-volatility-models/lists"}