Matt Slezak's repositories
cmdty-storage
Multi-Factor Least Squares Monte Carlo energy storage valuation model (Python and .NET).
HestonModelCalibrationFFT
This repository provides a Python Notebook and resources for calibrating the parameters of the Heston model using observed Call Option prices. The calibration aims to minimise the RMSE between observed and model-predicted call prices.
pythran
Ahead of Time compiler for numeric kernels
PyFENG
Python Financial ENGineering (PyFENG package in PyPI.org)
CompFinance
Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
smop
Spaceholder in case maintenance of smop halts
Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
nadl
A small framework that can perform automatic differentiation.
gasstoragemodel
Using python to value gas storage
audi
Header only, C++ library (and the Python pyaudi package) implementing the algebra of Taylor truncated polynomials and a few algorithms useful for its applications (Differential Intelligence, automatic differentiation, Taylor Models, etc.)
divide-and-conquer-eigenvalues
divide-and-conquer eigenvalues algorithm for symmetric tridiagonal matrix, designed by Cuppen
ipython
IPython/Jupiter Notebooks