icej1324's repositories
fypy
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.
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icej1324
Config files for my GitHub profile.
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intro2stats
Introduction to Statistics using Python
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mathnet-numerics
Math.NET Numerics
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papers
A bib file with references I've been collecting (plus a small TeX file to typeset them)
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PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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pymle
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
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quadpy
Numerical integration (quadrature, cubature) in Python
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QuantLib
The QuantLib C++ library
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