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Financial Models Numerical Methods ⭐ 5,086

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

Python Financial ENGineering (PyFENG package in PyPI.org)

Proj_option_pricing_matlab ⭐ 115

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

Montecarlo ⭐ 27

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

Black Scholes Cpp ⭐ 5

A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

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