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jkirkby3
fypy jkirkby3
22
76
mit
5
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financi...
levy sabr quant heston python finance fourier pricing calibration black-scholes levy-processes option-pricing variance-gamma options-pricing quantitative-finance quantitative-trading stochastic-volatility
Created 2021-04-24
234 commits to master branch, last one 11 days ago