Mark's repositories
Auto-Exercised_Parisian_Option_Pricing_and_Hedging
Mainly utilized Monte Carlo simulation to price auto-exercised Parisian options, and calculate their Greeks.
FinMathematics
Books
iocs
Indicators from Unit 42 Public Reports
Option-Pricing
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
Option-Pricing-Barrier
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
options-calculator
Black Scholes Options Calculator
Python-for-Finance-Second-Edition
Python for Finance – Second Edition, published by Packt
QuantLib
The QuantLib C++ library
QuantLibPythonExamples
Reimplementing QuantLib examples by Python
streamlit-example
Example Streamlit app that you can fork to test out share.streamlit.io
swing_option
Small repository for evaluating swing options via Longstaff-Schwartz algorithm.
valuation-convertibles-Goldman1994
Valuation of Convertible Bonds on a Binomial Tree (E. Derman et al.)
Valuation-of-Energy-Options
Valuation of energy options (e.g. swing option and storage option) via Approximate Dynamic Programming (ADP)