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

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

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 financial models to market data.

using the Inverse-Transform method to speed up options pricing simulations in R

Constrained Levy Exploration (CLE) generates a scanpath computing eye movements as Levy flight on a saliency map.

Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.

functions and scripts for the course Computational Finance a.c. 2016/2017

A Quantitative Finance Engineering Project

Pricing TARN Using Numerical Methods

Calcul d'une date de premier prélèvement selon une bande de prélèvement exprimée en jours légaux (ouvrés, ouvrables, calendaire, etc...)