levy-processes

There are 15 repositories under levy-processes topic.

  • cantaro86/Financial-Models-Numerical-Methods

    Collection of notebooks about quantitative finance, with interactive python code.

    Language:Jupyter Notebook6.6k156161.2k

  • jkirkby3/PROJ_Option_Pricing_Matlab

    Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

    Language:MATLAB2037373

  • jkirkby3/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.

    Language:Python1226226

  • chicago-joe/Option-Pricing-via-Levy-Models-in-R

    using the Inverse-Transform method to speed up options pricing simulations in R

    Language:HTML281011

  • phuselab/CLE

    Constrained Levy Exploration (CLE) generates a scanpath computing eye movements as Levy flight on a saliency map.

    Language:Python18312

  • 59alireza59/Quantitative-Finance

    A Quantitative Finance Engineering Project

    Language:R14102

  • Mrktn/heston-pricing

    Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.

    Language:C++6201

  • skiamu/ComputationalFinance

    functions and scripts for the course Computational Finance a.c. 2016/2017

    Language:MATLAB5105

  • NoeDebrois/Computational_Mathematics

    A repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.

    Language:MATLAB3100

  • Valbou/date-premier-prelevement

    Calcul d'une date de premier prélèvement selon une bande de prélèvement exprimée en jours légaux (ouvrés, ouvrables, calendaire, etc...)

    Language:Python2000

  • vbandelier/Master_Project

    Pricing TARN Using Numerical Methods

    Language:MATLAB2003

  • merliseclyde/bark

    bark R package for Bayesian nonparametric kernel regression

    Language:R1100

  • ZakariaBensaid/DeepFBSDEJSolvers

    Deep Global, Local and MultiStep solvers approximating the solutions of FBSDEs with jumps which are related to a class of (PIDEs) Partial Integro-Differential Equations.

    Language:Python1110

  • mohin-io/Fractional-PDEs-under-Levy-Models-Machine-Learning-for-Calibrating-Advanced

    This project builds a fast, intelligent calibration engine for advanced asset pricing models. Standard Black-Scholes breaks down under real markets with fat tails and jumps, but Lévy models (Variance Gamma, CGMY) are too slow and unstable to calibrate with classical methods.

    Language:Python

  • THargreaves/LevyProcesses.jl

    Computational methods for simulating Lévy processes written in Julia

    Language:Julia14