Popular repositories Loading

1. PROJ_Option_Pricing_Matlab PROJ_Option_Pricing_Matlab Public

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

   MATLAB 175 65

2. fypy fypy Public

   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 finan…

   Python 80 22

3. pymle pymle Public

   Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)

   Python 44 13

4. BsplineDensity BsplineDensity Public

   B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.

   MATLAB 13 3