Homepage of Boris Saulnier
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Updated
Oct 17, 2022 - HTML
Homepage of Boris Saulnier
Financial options pricing using Monte Carlo implemented on GPU using CUDA.
Implementation of the Carr-Madan formula for fast derivative pricing of European options.
Dockerized development environment with QuantLib C++ library based on Alpine Linux
A Machine Learning Approach to Option Pricing
Black-Scholes-Merton Option Pricing application with Greeks written in C++
Fast black-scholes-merton option pricing model in Python
Monte Carlo Pricing with extendable PayOff model
Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making
Auxiliary material course Quantitative Finance (Tilburg University)
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.
Some applications in Financial Mathematics.
A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
functions and scripts for the course Computational Finance a.c. 2016/2017
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.
OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).
An Excel integration of OpenGamma Strata.
PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.
Pricing derivatives using the explicit finite-difference method
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