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Financial Models Numerical Methods ⭐ 5,086

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

Proj_option_pricing_matlab ⭐ 115

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

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.

A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method

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