derivatives-pricing
There are 11 repositories under derivatives-pricing topic.
- FinancePy
domokane / FinancePy
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
Language:Jupyter Notebook 2044 letianzj / QuantResearch
Quantitative analysis, strategies and backtests
quantitative-financequantitative-tradingportfolio-managementrisk-managementderivatives-pricingmachine-learningdeep-learningbacktesting-trading-strategiestrading-strategiesstatistical-arbitrageasset-managementasset-allocationalgotradingtrading-algorithmsfinancial-analysispairs-tradingalgorithmic-tradingdata-sciencereinforcement-learningbacktestsLanguage:Jupyter Notebook 1886- Language:Python 639
federicomariamassari / willowtree
Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.
Language:Python 237sambacha / compendium
The Greatest Collection of anything related to finance and crypto
Language:Jupyter Notebook 194jialuechen / quantorch
High-Performance PyTorch Library for Derivatives Pricing
Language:Python 150YuMan-Tam / deep-hedging
Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
Language:Jupyter Notebook 145yzoz / python-option-calculator
Vanilla option pricing and visualisation using Black-Scholes model in pure Python
Language:Python 118- rateslib
attack68 / rateslib
A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
Language:Python 116 gabrielepompa88 / pyBlackScholesAnalytics
Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
Language:Jupyter Notebook 107Quantum Machine Learning Library for Quant Finance
Language:Python 103sanko / Finance-Robinhood
Trade stocks and ETFs with free brokerage Robinhood and Perl
Language:Perl 44TechfaneTechnologies / risk_free_interest_rate
A Python Script To Fetch The Government Securities T-Bills Interest Rates From RBI Website.
Language:Python 24caramel2001 / Financial-Derivative-Analysis-and-Simulation
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
Language:Jupyter Notebook 23- Language:Python 19
QuhiQuhihi / project_FICC_Quant
modeling FICC market with QuantLib
Language:Jupyter Notebook 19- Language:Python 18
james-ralph8555 / optionsVisualizer
Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get current Greeks for a given option. European style options.
Language:Python 17andleb / derivatives
Derivatives pricing in modern C++.
Language:C++ 12TommasoBelluzzo / StrataXL
An Excel integration of OpenGamma Strata.
Language:VBA 12Jspano95 / Derivatives_Pricing_Models
Introduction to options pricing theory and advanced numerical methods for pricing both vanilla and exotic options.
Language:Jupyter Notebook 9AnjishtGosain / DerivativesPricing
This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm to back-solve model parameters given market data (read from JSON).
Language:C++ 7mckeownish / Multilevel_MC_SDEs
RSCAM Group 1 Project (Multilevel Monte Carlo for SDEs)
Language:Jupyter Notebook 6prudhvi-reddy-m / BlackScholes
Black-Scholes Pricing Model: An intuitive and sophisticated tool for accurately calculating European option prices. Leverage the mathematical elegance of the Black-Scholes formula to explore how varying market conditions impact option pricing with real-time interactive visualizations.
Language:Python 6garthmortensen / finance
Contains financial studies work, including capital markets, corporate finance and other topics.
Language:MATLAB 4HuangGahow / Derivatives-Pricing
Derivatives Pricing
Language:Python 4lcsrodriguez / CuttingEdge-Milliman
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
Language:Jupyter Notebook 4- Language:Jupyter Notebook 4
W-Mrt / Stochastic-Methods-for-Finance
Excel/Python application of stochastic methods for financial analysis
Language:Jupyter Notebook 4BaptisteZloch / Structured-Products-in-Python
"Structured Products in Python" project from Paris-Dauphine University lecture. This project is aimed to create a pricing engine for derivatives and structured products
Language:Jupyter Notebook 3bikram-sahu / Black-Scholes
An interactive app on the Black Scholes Option Pricing Model, Option Greeks.
Language:Jupyter Notebook 3gokkayahmet / PRICING-DERIVATIVES-WITH-BINOMIAL-TREE-MODEL
The binomial tree model is a commonly used approach for pricing derivatives, such as options. The basic idea behind the model is to create a tree of possible stock prices over time, based on a set of input parameters
Language:Jupyter Notebook 3JCPF92 / The-VC-Method
Generation of realistic OHLC financial data
Language:Python 3thk-cheng / Pricing-Auto-callable-Reverse-Convertible-with-Memory-Coupon
The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017
Language:C++ 3ArtemySazonov / Stochastic-Volatility-Models
Repository of the 'Stochastic Volatility Models' Student Lab
Language:Jupyter Notebook 2JustTheQuant / StochasticVolatilityTensorFlow
This repository provides TensorFlow compatible code for some stochastic volatility models widely used in derivatives pricing.
Language:Jupyter Notebook 2
