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cantaro86
Financial-Models-Numerical-Methods cantaro86
969
5.3k
agpl-3.0
136
Collection of notebooks about quantitative finance, with interactive python code.
python econometrics heston-model kalman-filter levy-processes option-pricing brownian-motion american-options fourier-inversion jupyter-notebooks linear-regression monte-carlo-methods quantitative-finance stochastic-processes financial-engineering financial-mathematics linear-systems-equations jump-diffusion-mertons-model partial-differential-equations stochastic-differential-equations
Created 2019-09-10
71 commits to master branch, last one 3 months ago
jkirkby3
PROJ_Option_Pricing_Matlab jkirkby3
61
156
mit
5
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
sabr options derivatives monte-carlo asian-option heston-model black-scholes quant-finance variance-swap barrier-option jump-diffusion levy-processes option-pricing bermudan-option lookback-option american-options european-options fourier-transform quantitative-finance stochastic-volatility-models
Created 2017-11-17
135 commits to master branch, last one 11 months ago
hsjharvey
Option-Pricing hsjharvey
25
89
mit
3
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
black-scholes exotic-option option-pricing american-options binomial-pricing european-options longstaff-schwartz
Created 2019-10-06
48 commits to master branch, last one about a year ago