6 results found Sort:

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
AnthonyBradford
optionmatrix AnthonyBradford
46
186
gpl-3.0
16
Financial Derivatives Calculator with 168+ Models (Options Calculator)
swaps futures options spreads vasicek quantlib financial derivatives monte-carlo heston-model black-scholes options-pricing options-trading currency-exchange financial-analysis quantitative-finance financial-engineering term-structure-models
Created 2012-12-11
239 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
PyFE
PyFENG PyFE
68
130
gpl-2.0
6
Python Financial ENGineering (PyFENG package in PyPI.org)
sabr-model derivatives heston-model black-scholes option-pricing bachelier-model mathematical-finance quantitative-finance financial-engineering
Created 2021-02-26
676 commits to main branch, last one 13 days ago
ArturSepp
StochVolModels ArturSepp
25
112
gpl-3.0
3
Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
python heston-model option-pricing fourier-transform volatility-modeling quantitative-finance stochastic-processes stochastic-volatility monte-carlo-simulation heston-stochastic-volatility lognormal-stochastic-volatility
Created 2022-08-03
40 commits to main branch, last one about a month ago
Robin-Guilliou
Option-Pricing Robin-Guilliou
16
62
unknown
5
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
monte-carlo heston-model black-scholes barrier-option binomial-model option-pricing fourier-transform implied-volatility finite-difference-schemes jump-diffusion-mertons-model
Created 2021-11-05
28 commits to main branch, last one 2 years ago