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16 search results found

Gs Quant ⭐ 2,272

Python toolkit for quantitative finance

Open source analytics and market risk library from OpenGamma

A composable, real time, market data and trade execution toolkit. Built with Elixir, runs on the Erlang virtual machine

Comprehensive automatic differentiation in C++

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

Notebooks ⭐ 101

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

Quantsbin ⭐ 76

Quantitative Finance tools

Black Scholes Option Pricing Model ⭐ 42

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.

Appendices ⭐ 25

Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

Derivatives Algorithms Lib ⭐ 16

AAD enabled and scripting included derivatives modeling.

An Excel integration of OpenGamma Strata.

Strata Excel ⭐ 7

Excel bindings for OpenGamma's Strata library

Quant Projects ⭐ 6

Implementations of Leading Algorithms in Quantitative Finance

Derivatives ⭐ 5

Derivatives pricing in modern C++.

Quantitative_finance ⭐ 5

Testing Code abount quantitative finance algorithms

1-16 of 16 search results

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