Pinned Repositories
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.
icej1324
Config files for my GitHub profile.
intro2stats
Introduction to Statistics using Python
mathnet-numerics
Math.NET Numerics
papers
A bib file with references I've been collecting (plus a small TeX file to typeset them)
PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
pymle
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
quadpy
Numerical integration (quadrature, cubature) in Python
QuantLib
The QuantLib C++ library
icej1324's Repositories
icej1324/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.
icej1324/icej1324
Config files for my GitHub profile.
icej1324/intro2stats
Introduction to Statistics using Python
icej1324/mathnet-numerics
Math.NET Numerics
icej1324/papers
A bib file with references I've been collecting (plus a small TeX file to typeset them)
icej1324/PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
icej1324/pymle
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
icej1324/quadpy
Numerical integration (quadrature, cubature) in Python
icej1324/QuantLib
The QuantLib C++ library