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cpp-data-structures-and-algorithm-design-principles

Leverage the power of modern C++ to build robust and scalable applications

cpp-ficc_temp4

Using C++ to price Options.

cpp_ficc_temp2

This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.

cpp_ficc_temp3

These are the course works for the Financial Computing 2019 Fall.

cpp_mp2_class

KAIST MP2 Part1. Basic

cppcon2019backup

Slides and Code for _Leveraging Modern C++ in Quantitative Finance_

cpplovessql

cra-pricer_cpp-ficc

credit_is_credit

creditdefaultswappricer_cpp

Credit Default Swap Pricer

crypto-arbitrager

crypto asset arbitrage opportunity watcher, market maker, hedge and arbitrage

cryptocurrency-trading-bot

bot for cryptocurrency trading

cuda_mc

Monte Carlo simulation to option pricing in CUDA

curvesconstruction

danielam_cdsswaption

dash-volatility-surface

Volatility surface explorer in pure Python

delta-hedging-strategy

delta-hedging-vitis-cpp

Valuation of financial derivatives on FPGA with HLS. We introduce a new and reusable path pricer for computing the replication error of delta-hedging strategy with monte carlo methods using the Vitis Quantitative Finance Library.

derivative_pricing_py

derivative_pricing_slv

nonlinear PDE problems in derivative pricing

derivatives-connect-cpp

derivatives_pricing_cpp

Mukoedo1993's code for C++ Design Patterns and Derivatives Pricing(Mark S. Joshi, 2nd ed.)

documents

documents on laptop

dotnetapi

dtsm-sofr-futures

Dynamic Term Structure Models for SOFR Futures

dupirenn

Neural network local volatility with dupire formula

dynamic_nelson_siegel_svensson_kalman_filter

Python Package: Fitting and Forecasting the yield curve

effectivecppnote

Big Templates with effective c++

els_fdm_3d_dll

Dynamic Linked Library for pricing 3-asset ELS by Finite difference method

empirical-analysis-and-forecasting-of-yield-curves.

Principal Component Analysis(PCA), Nelson-Siegel(NS) model, and Gaussian Regression Process(GPR) are used to fit and forecast the European yield curve with different maturities.