A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
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Updated
May 29, 2016 - HTML
A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
Pricing derivatives using the explicit finite-difference method
Dockerized development environment with QuantLib C++ library based on Alpine Linux
functions and scripts for the course Computational Finance a.c. 2016/2017
Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making
Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning
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.
Financial options pricing using Monte Carlo implemented on GPU using CUDA.
Monte Carlo Pricing with extendable PayOff model
A Machine Learning Approach to Option Pricing
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 Excel integration of OpenGamma Strata.
Black-Scholes-Merton Option Pricing application with Greeks written in C++
Fast black-scholes-merton option pricing model in Python
Homepage of Boris Saulnier
Implementation of the Carr-Madan formula for fast derivative pricing of European options.
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.
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).
Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )
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