Financial Engineering in Python

All

7 repositories

PyFENG
Public
Python Financial ENGineering (PyFENG package in PyPI.org)
derivatives option-pricing quantitative-finance mathematical-finance black-scholes financial-engineering heston-model sabr-model bachelier-model
Python
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GNU General Public License v2.0
•72•155•9•1•Updated Nov 19, 2024Nov 19, 2024
PyfengForPapers
Public
Python Code for Quantitative Finance Papers
Jupyter Notebook
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GNU General Public License v3.0
•19•38•0•0•Updated Oct 2, 2024Oct 2, 2024
Fast-Swaption-Matlab
Public
Matlab code for Choi & Shin (2016)
MATLAB
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GNU General Public License v2.0
•1•0•0•0•Updated Apr 1, 2023Apr 1, 2023
SumBSM-R
Public
The R code of the "Sum of all Black-Scholes-Merton models" paper
derivatives black-scholes spread-option basket-option asian-option quadrature
R
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MIT License
•7•2•0•0•Updated May 26, 2022May 26, 2022
FE-R
Public
Financial Engineering in R
derivatives option-pricing quantitative-finance mathematical-finance black-scholes financial-engineering bachelier
R
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GNU General Public License v3.0
•5•12•2•0•Updated Mar 17, 2021Mar 17, 2021
NSVh-R
Public
The R code set for "Normal Stochastic Volatility Model" paper.
MIT License
•2•0•0•0•Updated Feb 18, 2021Feb 18, 2021
InvGaussianQuad-R
Public
The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"
gaussian-mixture-model gaussian-quadrature normal-inverse-gaussian inverse-gaussian generalized-hyperbolic-distribution gauss-hermite-quadrature
R
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MIT License
•3•0•0•0•Updated Feb 5, 2021Feb 5, 2021