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

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.

using the Inverse-Transform method to speed up options pricing simulations in R

Constrained Levy Exploration (CLE) generates a scanpath computing eye movements as Levy flight on a saliency map.

A Quantitative Finance Engineering Project

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.

functions and scripts for the course Computational Finance a.c. 2016/2017

Pricing TARN Using Numerical Methods

Calcul d'une date de premier prélèvement selon une bande de prélèvement exprimée en jours légaux (ouvrés, ouvrables, calendaire, etc...)

A repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.

Deep Global, Local and MultiStep solvers approximating the solutions of FBSDEs with jumps which are related to a class of (PIDEs) Partial Integro-Differential Equations.

bark R package for Bayesian nonparametric kernel regression

Computational methods for simulating Lévy processes written in Julia