PyFE/PyFENG

Python Financial ENGineering (PyFENG package in PyPI.org)

Language: Python - Size: 3.32 MB - Last synced: 7 days ago - Pushed: 7 days ago - Stars: 129 - Forks: 68

ArturSepp/StochVolModels

Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

Language: Python - Size: 10.2 MB - Last synced: 4 days ago - Pushed: about 1 month ago - Stars: 107 - Forks: 23

quantmind/quantflow

Quantitative finance and derivative pricing

Language: Python - Size: 14.5 MB - Last synced: 16 days ago - Pushed: 2 months ago - Stars: 9 - Forks: 1

cantaro86/Financial-Models-Numerical-Methods

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

Language: Jupyter Notebook - Size: 23.1 MB - Last synced: 23 days ago - Pushed: 3 months ago - Stars: 5,267 - Forks: 958

lyndskg/black-scholes-cpp

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).

Language: C++ - Size: 3.73 MB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 9 - Forks: 3

tanvipotdar/Advanced-Modules

Language: Python - Size: 8.46 MB - Last synced: 2 months ago - Pushed: almost 4 years ago - Stars: 1 - Forks: 1

AnthonyBradford/optionmatrix

Financial Derivatives Calculator with 168+ Models (Options Calculator)

Language: C++ - Size: 90.9 MB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 172 - Forks: 47

jerryxyx/MonteCarlo

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

Language: Jupyter Notebook - Size: 2.11 MB - Last synced: 3 months ago - Pushed: about 5 years ago - Stars: 92 - Forks: 51

SK8gh/HestonPricer

Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.

Language: C++ - Size: 4.88 KB - Last synced: 5 months ago - Pushed: over 2 years ago - Stars: 1 - Forks: 0

ChristianLindler/optionspricer

American and European options pricer web app build with Flask and React

Language: JavaScript - Size: 6.75 MB - Last synced: 2 months ago - Pushed: 5 months ago - Stars: 2 - Forks: 0

sidbannet/stockhealth

`stockhealth` is a Python package built for investment management and analysis of security in US stock exchange.

Language: Python - Size: 11.4 MB - Last synced: 5 months ago - Pushed: 5 months ago - Stars: 1 - Forks: 0

rexsutton/vollab

Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.

Language: Jupyter Notebook - Size: 627 KB - Last synced: 6 months ago - Pushed: about 3 years ago - Stars: 12 - Forks: 4

jkirkby3/PROJ_Option_Pricing_Matlab

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

Language: MATLAB - Size: 355 KB - Last synced: 7 months ago - Pushed: 11 months ago - Stars: 125 - Forks: 53

Gonewiththewind4/Financial-Programming-and-its-Application

The code here is used for several basic financial models and methods, including Black Scholes formula, Monte Carlo Simulation, etc. The codes in this repository are written with C#.

Language: C# - Size: 22.6 MB - Last synced: 9 months ago - Pushed: about 5 years ago - Stars: 3 - Forks: 0

jcfrei/Heston

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.

Language: Matlab - Size: 93.8 KB - Last synced: 12 months ago - Pushed: over 6 years ago - Stars: 29 - Forks: 18

zugzvangg/crypto-calibration

Stochastic volatility models and their application to Deribit crypro-options exchange

Language: Jupyter Notebook - Size: 37.9 MB - Last synced: 12 months ago - Pushed: 12 months ago - Stars: 5 - Forks: 0

aidinattar/Volatility-carry-trading-strategy

Modelling the implicit volatility, using multi-factor statistical models.

Language: HTML - Size: 98.1 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 4 - Forks: 3

0xalbert/heston_model

R implementation of the Heston option pricing function

Language: R - Size: 47.9 KB - Last synced: 11 months ago - Pushed: over 1 year ago - Stars: 0 - Forks: 0

vincent27hugh/FEM_Heston_Model

We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.

Language: MATLAB - Size: 5.52 MB - Last synced: 9 months ago - Pushed: over 5 years ago - Stars: 6 - Forks: 1

enesozi/Option-Pricing-Stochastic-Volatility

Language: Jupyter Notebook - Size: 1.85 MB - Last synced: 2 months ago - Pushed: about 6 years ago - Stars: 8 - Forks: 6

Robin-Guilliou/Option-Pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

Language: Jupyter Notebook - Size: 1.51 MB - Last synced: about 1 year ago - Pushed: over 2 years ago - Stars: 20 - Forks: 7

tjespel/discretization-cir-processes 📦

This is a simulation project for the seconder order discretization schemes for the CIR process.

Language: C++ - Size: 20.6 MB - Last synced: about 1 year ago - Pushed: about 6 years ago - Stars: 5 - Forks: 2

white07S/Pricing-Models

Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.

Language: Python - Size: 206 KB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 1 - Forks: 3

sandershortway/BlackScholesHeston

Determine implied volatility according to Black-Scholes dynamics.

Language: Python - Size: 55.7 KB - Last synced: about 1 year ago - Pushed: almost 3 years ago - Stars: 5 - Forks: 2

kirillzx/Stochastic-Differential-Equations

📚SDE research and modelling in Finance📚

Language: Jupyter Notebook - Size: 33.7 MB - Last synced: about 1 year ago - Pushed: almost 2 years ago - Stars: 4 - Forks: 0

anitamezzetti/Heston_option_pricing

Machine Learning for Finance (FIN-418 EPFL) final project: Comparison of different option pricers for the Heston model

Language: Jupyter Notebook - Size: 66.1 MB - Last synced: about 1 year ago - Pushed: over 3 years ago - Stars: 4 - Forks: 2

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.

Language: C++ - Size: 342 KB - Last synced: about 1 year ago - Pushed: about 5 years ago - Stars: 4 - Forks: 1

NikosNikolopoulos/ComputationalFinance

Some Applications in Financial Mathematics.

Language: Jupyter Notebook - Size: 1.17 MB - Last synced: 5 months ago - Pushed: 5 months ago - Stars: 3 - Forks: 1

Aravindan98/BlackScholes-Heston

Black Scholes Model and Heston Model

Language: Python - Size: 20.1 MB - Last synced: about 1 year ago - Pushed: about 3 years ago - Stars: 1 - Forks: 0

LautaroParada/stochastic-processes

Stochastic Valuation Processes for stock prices and bond rates

Language: HTML - Size: 3.54 MB - Last synced: about 1 year ago - Pushed: almost 4 years ago - Stars: 1 - Forks: 2

lnapo94/HestonFive

Application used to price an option under the BarbequeRTRM framework

Language: C++ - Size: 241 KB - Last synced: about 1 year ago - Pushed: almost 7 years ago - Stars: 1 - Forks: 0