Pinned Repositories
Auto-Exercised_Parisian_Option_Pricing_and_Hedging
Mainly utilized Monte Carlo simulation to price auto-exercised Parisian options, and calculate their Greeks.
CFI
Code for / related to the valuation of complex financial instruments (derivative instruments)
fermincota-VBA-add-in
FinMathematics
Books
iocs
Indicators from Unit 42 Public Reports
MCS
Monte Carlo Simlation
Option-Pricing
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
Option-Pricing-Barrier
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
options-calculator
Black Scholes Options Calculator
pie2021_option_swing
TMRPenn's Repositories
TMRPenn/Auto-Exercised_Parisian_Option_Pricing_and_Hedging
Mainly utilized Monte Carlo simulation to price auto-exercised Parisian options, and calculate their Greeks.
TMRPenn/CFI
Code for / related to the valuation of complex financial instruments (derivative instruments)
TMRPenn/fermincota-VBA-add-in
TMRPenn/FinMathematics
Books
TMRPenn/iocs
Indicators from Unit 42 Public Reports
TMRPenn/MCS
Monte Carlo Simlation
TMRPenn/Option-Pricing
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
TMRPenn/Option-Pricing-Barrier
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
TMRPenn/options-calculator
Black Scholes Options Calculator
TMRPenn/pie2021_option_swing
TMRPenn/Python-for-Finance-Second-Edition
Python for Finance – Second Edition, published by Packt
TMRPenn/QuantLib
The QuantLib C++ library
TMRPenn/QuantLibPythonExamples
Reimplementing QuantLib examples by Python
TMRPenn/release-demos
TMRPenn/streamlit-example
Example Streamlit app that you can fork to test out share.streamlit.io
TMRPenn/swing_option
Small repository for evaluating swing options via Longstaff-Schwartz algorithm.
TMRPenn/valuation-convertibles-Goldman1994
Valuation of Convertible Bonds on a Binomial Tree (E. Derman et al.)
TMRPenn/Valuation-of-Energy-Options
Valuation of energy options (e.g. swing option and storage option) via Approximate Dynamic Programming (ADP)
TMRPenn/VBA_Code