Pinned Repositories
Computational-Finance-Course
Here you will find materials for the course of Computational Finance
daily-coding-problem
Solutions to problems sent by dailycodingproblem.com
Daily-Coding-Problems
Programming problems for practice
FinancialEngineering_IR_xVA
PROJ_Option_Pricing_Matlab
Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
PyStochasticVolatility
This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computing option price under SV.
QuantFinanceBook
Quantitative Finance book
QuantLib
The QuantLib C++ library
Randomization
The RAnD Method for randomizing of Affine Diffusion processes
Smolyak
Efficient implementations of Smolyak's algorithm for function approxmation in Python and Julia.
LechGrzelak's Repositories
LechGrzelak/QuantFinanceBook
Quantitative Finance book
LechGrzelak/Computational-Finance-Course
Here you will find materials for the course of Computational Finance
LechGrzelak/FinancialEngineering_IR_xVA
LechGrzelak/PyStochasticVolatility
This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computing option price under SV.
LechGrzelak/Randomization
The RAnD Method for randomizing of Affine Diffusion processes
LechGrzelak/QuantLib
The QuantLib C++ library
LechGrzelak/Daily-Coding-Problems
Programming problems for practice
LechGrzelak/daily-coding-problem
Solutions to problems sent by dailycodingproblem.com
LechGrzelak/PROJ_Option_Pricing_Matlab
Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
LechGrzelak/Smolyak
Efficient implementations of Smolyak's algorithm for function approxmation in Python and Julia.
LechGrzelak/StudyWeek2022