pricing-derivatives
There are 24 repositories under pricing-derivatives topic.
mgroncki/IPythonScripts
Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning
rcalxrc08/FinancialToolbox.jl
Useful functions for Black–Scholes Model in the Julia Language
montrixdev/mxdevtool-python
Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )
rcalxrc08/FinancialMonteCarlo.jl
Julia Package for Financial Monte Carlo Simulations
TommasoBelluzzo/StrataXL
An Excel integration of OpenGamma Strata.
ucaiado/FiniteDifference_Pricing
Pricing derivatives using the explicit finite-difference method
redukti/PyRedukti
PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.
redukti/OpenRedukti
OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).
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.
NikosNikolopoulos/ComputationalFinance
Some applications in Financial Mathematics.
skiamu/ComputationalFinance
functions and scripts for the course Computational Finance a.c. 2016/2017
ucaiado/Replicating_Strategy
A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
harshucheri/Java-algo-trading-and-Option-greeks-calculator
Black Scholes Option Pricing calculator with Greeks and implied volatility computations. Geometric Brownian Motion simulator with payoff value diagram and volatility smile plots. Java GUI.
ramonVDAKKER/teaching-quantitative-finance
Auxiliary material course Quantitative Finance (Tilburg University)
QGoGithub/Matlab---Research-Optimisation-and-Forecasting
Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making
a-ivanov/docker-quantlib
Dockerized development environment with QuantLib C++ library based on Alpine Linux
bleunguts/OptionsPricerCpp
Monte Carlo Pricing with extendable PayOff model
ylefay/pricing_fft_ensae
Implementation of the Carr-Madan formula for fast derivative pricing of European options.
bsaulnier/bsaulnier.github.io
Homepage of Boris Saulnier
KonstantinQuant/exact-pricing-cpp
Black-Scholes-Merton Option Pricing application with Greeks written in C++
MunumButt/Fast-BSM-Python
Fast black-scholes-merton option pricing model in Python
VL98/VLehner-Bachelor-Thesis
A Machine Learning Approach to Option Pricing
kaletap/option-pricing
Financial options pricing using Monte Carlo implemented on GPU using CUDA.