Useful functions for Black–Scholes Model in the Julia Language
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Updated
May 4, 2024 - Julia
Useful functions for Black–Scholes Model in the Julia Language
Julia Package for Financial Monte Carlo Simulations
Some applications in Financial Mathematics.
Auxiliary material course Quantitative Finance (Tilburg University)
Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )
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).
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.
Implementation of the Carr-Madan formula for fast derivative pricing of European options.
Homepage of Boris Saulnier
Fast black-scholes-merton option pricing model in Python
Black-Scholes-Merton Option Pricing application with Greeks written in C++
An Excel integration of OpenGamma Strata.
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.
A Machine Learning Approach to Option Pricing
Monte Carlo Pricing with extendable PayOff model
Financial options pricing using Monte Carlo implemented on GPU using CUDA.
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.
Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning
Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making
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