pricing-derivatives
There are 3 repositories under pricing-derivatives topic.
mgroncki / IPythonScripts
Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning
Language:Jupyter Notebook 142rcalxrc08 / FinancialToolbox.jl
Useful functions for Black–Scholes Model in the Julia Language
Language:Julia 46montrixdev / mxdevtool-python
Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )
Language:Python 27Julia Package for Financial Monte Carlo Simulations
Language:Julia 23ucaiado / FiniteDifference_Pricing
Pricing derivatives using the explicit finite-difference method
Language:Jupyter Notebook 13redukti / PyRedukti
PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.
Language:Python 11TommasoBelluzzo / StrataXL
An Excel integration of OpenGamma Strata.
Language:VBA 11OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).
Language:C 8Mrktn / 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.
Language:C++ 6skiamu / ComputationalFinance
functions and scripts for the course Computational Finance a.c. 2016/2017
Language:MATLAB 5A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
Language:HTML 5NikosNikolopoulos / ComputationalFinance
Some applications in Financial Mathematics.
Language:Jupyter Notebook 4- Language:Python 4
harshucheri / Java-algo-trading-and-Option-greeks-calculator
Black Scholes Option Pricing calculator with Greeks and implied volatility computations. Geometric Brownian Motion simulator with payoff value diagram and volatility smile plots. Java GUI.
Language:Java 3ramonVDAKKER / teaching-quantitative-finance
Auxiliary material course Quantitative Finance (Tilburg University)
Language:TeX 3QGoGithub / Matlab---Research-Optimisation-and-Forecasting
Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making
Language:MATLAB 2bleunguts / OptionsPricerCpp
Monte Carlo Pricing with extendable PayOff model
Language:C++ 1sweg44 / Fast-BSM-Python
Fast black-scholes-merton option pricing model in Python
Language:Jupyter Notebook 1a-ivanov / docker-quantlib
Dockerized development environment with QuantLib C++ library based on Alpine Linux
0KonstantinQuant / exact-pricing-cpp
Black-Scholes-Merton Option Pricing application with Greeks written in C++
Language:C++ 0VL98 / VLehner-Bachelor-Thesis
A Machine Learning Approach to Option Pricing
Language:Jupyter Notebook 0bsaulnier / bsaulnier.github.io
Homepage of Boris Saulnier
Language:HTMLkaletap / option-pricing
Financial options pricing using Monte Carlo implemented on GPU using CUDA.
Language:Cudaylefay / pricing_fft_ensae
Implementation of the Carr-Madan formula for fast derivative pricing of European options.
Language:C++
