Collection of notebooks about quantitative finance, with interactive python code.
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Updated
Jul 27, 2024 - Jupyter Notebook
Collection of notebooks about quantitative finance, with interactive python code.
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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.
using the Inverse-Transform method to speed up options pricing simulations in R
Constrained Levy Exploration (CLE) generates a scanpath computing eye movements as Levy flight on a saliency map.
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.
A Quantitative Finance Engineering Project
functions and scripts for the course Computational Finance a.c. 2016/2017
Calcul d'une date de premier prélèvement selon une bande de prélèvement exprimée en jours légaux (ouvrés, ouvrables, calendaire, etc...)
Pricing TARN Using Numerical Methods
bark R package for Bayesian nonparametric kernel regression
Computational methods for simulating Lévy processes written in Julia
Deep Global, Local and MultiStep solvers approximating the solutions of FBSDEs with jumps which are related to a class of (PIDEs) Partial Integro-Differential Equations.
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