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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
jkirkby3
fypy jkirkby3
22
68
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
180 commits to master branch, last one about a month ago