derivatives-pricing
There are 67 repositories under derivatives-pricing topic.
letianzj/QuantResearch
Quantitative analysis, strategies and backtests
domokane/FinancePy
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
dbrojas/optlib
A library for financial options pricing written in Python.
federicomariamassari/willowtree
Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.
sambacha/compendium
The Greatest Collection of anything related to finance and crypto
attack68/rateslib
A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.
jialuechen/torchquant
PyTorch Library for Quantitative Finance
YuMan-Tam/deep-hedging
Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
yzoz/python-option-calculator
Vanilla option pricing and visualisation using Black-Scholes model in pure Python
gabrielepompa88/pyBlackScholesAnalytics
Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
jialuechen/tfq-finance
Quantum Finance Library
sanko/Finance-Robinhood
Trade stocks and ETFs with free brokerage Robinhood and Perl
caramel2001/Financial-Derivative-Analysis-and-Simulation
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
TechfaneTechnologies/risk_free_interest_rate
A Python Script To Fetch The Government Securities T-Bills Interest Rates From RBI Website.
meenmo/ISDA_SIMM
Implementation of ISDA SIMM v2.3~2.6
prudhvi-reddy-m/BlackScholes
Black-Scholes Pricing Model: An intuitive and sophisticated tool for accurately calculating European option prices. Leverage the mathematical elegance of the Black-Scholes formula to explore how varying market conditions impact option pricing with real-time interactive visualizations.
QuhiQuhihi/project_FICC_Quant
modeling FICC market with QuantLib
james-ralph8555/optionsVisualizer
Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get current Greeks for a given option. European style options.
xurendong/derivx
DerivX Core Library
andleb/derivatives
Derivatives pricing in modern C++.
TommasoBelluzzo/StrataXL
An Excel integration of OpenGamma Strata.
Jspano95/Derivatives_Pricing_Models
Introduction to options pricing theory and advanced numerical methods for pricing both vanilla and exotic options.
AnjishtGosain/DerivativesPricing
This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm to back-solve model parameters given market data (read from JSON).
mckeownish/Multilevel_MC_SDEs
RSCAM Group 1 Project (Multilevel Monte Carlo for SDEs)
HuangGahow/Derivatives-Pricing
Derivatives Pricing
W-Mrt/Stochastic-Methods-for-Finance
Excel/Python application of stochastic methods for financial analysis
garthmortensen/finance
Contains financial studies work, including capital markets, corporate finance and other topics.
lcsrodriguez/CuttingEdge-Milliman
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
thk-cheng/Pricing-Auto-callable-Reverse-Convertible-with-Memory-Coupon
The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017
BaptisteZloch/Structured-Products-in-Python
"Structured Products in Python" project from Paris-Dauphine University lecture. This project is aimed to create a pricing engine for derivatives and structured products
bikram-sahu/Black-Scholes
An interactive app on the Black Scholes Option Pricing Model, Option Greeks.
gokkayahmet/PRICING-DERIVATIVES-WITH-BINOMIAL-TREE-MODEL
The binomial tree model is a commonly used approach for pricing derivatives, such as options. The basic idea behind the model is to create a tree of possible stock prices over time, based on a set of input parameters
JCPF92/The-VC-Method
Generation of realistic OHLC financial data
jdcbranco/simulationmethods
Imperial College London Simulation Methods
kaizeng/kquantlib
A kdb library to call Quantlib C++ library via embedpy with a simple interface (similar to R Quantlib interface)