Collection of notebooks about quantitative finance, with interactive python code.
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Updated
Feb 26, 2024 - Jupyter Notebook
Collection of notebooks about quantitative finance, with interactive python code.
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).
Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.
Financial Analytics on GPU
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.
A Program to calculate the price of American put or call option with Least Square Monte Carlo
Pricing American style option by estimating optimal stopping time using deep learning
A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function
This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…
Asian, American, European and barrier option pricing
This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).
Pricing American Options, Asian Options, Lookback Options, and Floating Lookback Options using Monte-Carlo Simulation and Binomial Lattice approaches.
Lattice/tree pricing methods for European and American options
Secondary band prediction model
An american option pricer based on neural network regression.
Lab assignments of Financial Engineering Course MA374
A project with JavaScript, CSS and a bit of HTML. This is an item filtering project with an HTML "select" element.
Accompanying C++ code for the TastyHedge blog
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