FinMathKit

Research project on financial math (option pricing, hedging, interest rate, etc...)

Includes

Pricer for european options via Monte Carlo simulation (GBM model, CEV model + support risk-neutral measure)
Delta-hedging which is also based on Monte Carlo simulation (GBM model only, FIXIT)
Pricer for options via numerical solution of PDEs (Feynman-Kac and Fokker-Planck)

$ git clone https://github.com/davidmiheev/FinMathKit/
$ cd FinMathKit/
$ ./sirius.sh

Name		Name	Last commit message	Last commit date
Latest commit History 95 Commits
.github/workflows		.github/workflows
BSM.cpp		BSM.cpp
BSM.hpp		BSM.hpp
CMakeLists.txt		CMakeLists.txt
DATA.txt		DATA.txt
Diffusion.h		Diffusion.h
GridOP_S3.hpp		GridOP_S3.hpp
GridOp_S3.h		GridOp_S3.h
IRProvider.h		IRProvider.h
IRProviderConst.cpp		IRProviderConst.cpp
IRProviderConst.h		IRProviderConst.h
LICENSE		LICENSE
MCOptionHedger.h		MCOptionHedger.h
MCOptionHedger.hpp		MCOptionHedger.hpp
MCOptionPricer.h		MCOptionPricer.h
MCOptionPricer.hpp		MCOptionPricer.hpp
MonteCarlo.h		MonteCarlo.h
MonteCarlo.hpp		MonteCarlo.hpp
Options.h		Options.h
PATHS.txt		PATHS.txt
README.md		README.md
Time.h		Time.h
Vanillas.h		Vanillas.h
gridpricer.cpp		gridpricer.cpp
hedger.cpp		hedger.cpp
mmult.c		mmult.c
montemain.cpp		montemain.cpp
pricer.cpp		pricer.cpp
sirius.sh		sirius.sh
techstack.md		techstack.md
techstack.yml		techstack.yml