Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
You will find several project in the repository.
finmath lib
Java library providing implementations of methodologies related to
mathematical finance, but applicable to other fields (e.g., the
Monte-Carlo simulation of SDEs and the estimation of conditional
expectations in Monte-Carlo).
finmath spreadsheets
A collection of spreadsheets building upon finmath lib and
providing end user solutions (e.g, interest rate curve calibration
or calibration of a forward rate model, aka LIBOR market model).
finmath experiments
Small experiments, illustrating some aspects of mathematical
finance. Also illustrates how to use the finmath lib.
- finmath lib API documentation
provides the documentation of the library api. - finmath.net special topics
cover some selected topics with demo spreadsheets and uml diagrams. Some topics come with additional documentations (technical papers).
The code of "finmath lib" and "finmath experiments" (packages
net.finmath.*) are distributed under the Apache License version
2.0, unless otherwise explicitly stated.