Collection of notebooks about quantitative finance, with interactive python code.

A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.

High-frequency statistical arbitrage

A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)

Black Scholes Option Pricing calculator with Greeks and implied volatility computations. Geometric Brownian Motion simulator with payoff value diagram and volatility smile plots. Java GUI.

An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

Lorenz attractors, statistical mechanics, nonlinear dynamical systems, computational physics.

Fast and slight DLA3D / DLA2D (Diffusion Limited Aggregation)

Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Code)

Ornstein-Uhlenbeck models for phylogenetic comparative hypotheses

Python solver for the Brownian, Stochastic, or Noisy Differential Equations

A python code to calculate the Brownian motion of colloidal particles in a time varying force field.

Resources for Quantitative Finance

Research and programming of various interesting mathematical examples

A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

CAAStools is a bioinformatics toolbox that allows the user to identify and validate CAAS on MSA of orthologous proteins.

n dimensional Brownian motion with an arbitrary mean and Variance Covariance matrix.

Stochastic processes insights from VAE. Code for the paper: Learning minimal representations of stochastic processes with variational autoencoders.

A simulator for single molecule FRET experiments of freely diffusing particles.

Simulation of Langevin dynamics