Project developed for the Numeric Simulation Laboratory A.A. 2023-2024, held by professor Davide Emilio Galli at the University of Milan, Physics Department.
-
Updated
Jun 13, 2024 - Jupyter Notebook
Project developed for the Numeric Simulation Laboratory A.A. 2023-2024, held by professor Davide Emilio Galli at the University of Milan, Physics Department.
R Finance packages not listed in the Empirical Finance Task View
Rust library for quantitative finance.
This repository contains the files for the MA628 course project, focusing on financial data analysis and option pricing for a CRSP
📚SDE research and modelling in Finance📚
Option pricing based on GARCH model and BSM framework.
Python Financial ENGineering (PyFENG package in PyPI.org)
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
Master's Degree Thesis: Applying Reinforcement Learning to Option Pricing and Hedging
Financial Math
Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2011), ISBN 978-0123756626.
Compilation of select advanced options pricing models i.e. Black-Scholes, Monte-Carlo, Binomial
Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
Python/Streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.
R package to download historical bhavcopy of Equities and F&O, get live market data, plot treemap of movement in securities
Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.
C++ Opensource Phinance Engine
Use of LSTM to predict the implied volatility skew in financial markets
This Python script helps financial enthusiasts and professionals understand the dynamics of American put options by calculating their exercise boundary.
Add a description, image, and links to the option-pricing topic page so that developers can more easily learn about it.
To associate your repository with the option-pricing topic, visit your repo's landing page and select "manage topics."