levy-processes

There are 0 repository under levy-processes topic.

cantaro86 / Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
american-options brownian-motion econometrics financial-engineering financial-mathematics fourier-inversion heston-model jump-diffusion-mertons-model jupyter-notebooks kalman-filter levy-processes linear-regression linear-systems-equations monte-carlo-methods option-pricing partial-differential-equations python quantitative-finance stochastic-differential-equations stochastic-processes
Language:Jupyter Notebook 5531
jkirkby3 / PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
quantitative-finance levy-processes black-scholes american-options bermudan-option asian-option european-options lookback-option variance-swap barrier-option heston-model jump-diffusion fourier-transform derivatives options monte-carlo option-pricing stochastic-volatility-models sabr quant-finance
Language:MATLAB 171
jkirkby3 / 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.
option-pricing black-scholes levy-processes calibration fourier quantitative-finance pricing levy options-pricing finance variance-gamma python quant quantitative-trading heston sabr stochastic-volatility
Language:Python 76
chicago-joe / Option-Pricing-via-Levy-Models-in-R
using the Inverse-Transform method to speed up options pricing simulations in R
r option-pricing options-trading algorithmic-trading computational-finance levy-models levy-processes levy-process monte-carlo-simulation monte-carlo-simulations european-options r-programming r-language mathematical-modelling mathematical-finance financial-engineering
Language:R 27
phuselab / CLE
Constrained Levy Exploration (CLE) generates a scanpath computing eye movements as Levy flight on a saliency map.
scanpath-prediction scanpath levy-processes gaze-estimation gaze eye-tracking
Language:Python 18
Mrktn / heston-pricing
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.
pricing-derivatives heston-model stochastic-differential-equations stochastic-simulation-algorithm stochastic-volatility-models ergodic-stationary-processes levy-processes
Language:C++ 6
59alireza59 / Quantitative-Finance
A Quantitative Finance Engineering Project
black-sholes change-point-detection clustering finance lead-lag levy-processes monte-carlo-methods option-pricing time-series stock-market
Language:R 5
skiamu / ComputationalFinance
functions and scripts for the course Computational Finance a.c. 2016/2017
pricing-derivatives computational-finance levy-processes
Language:MATLAB 5
Valbou / date-premier-prelevement
Calcul d'une date de premier prélèvement selon une bande de prélèvement exprimée en jours légaux (ouvrés, ouvrables, calendaire, etc...)
prelevement date monthly levy-processes mensuel bande-de-prelevement
Language:Python 2
vbandelier / Master_Project
Pricing TARN Using Numerical Methods
finite-difference monte-carlo-simulations numerical-methods option-pricing pricing-tarn conv-method levy-processes
Language:MATLAB 2
THargreaves / LevyProcesses.jl
Computational methods for simulating Lévy processes written in Julia
julia levy-processes
Language:Julia