financialengineerlab Goto Github PK

dupirenn

Neural network local volatility with dupire formula

dynamic_nelson_siegel_svensson_kalman_filter

Python Package: Fitting and Forecasting the yield curve

econometric-measures-of-connectedness-and-systemic-risk-in-the-finance-and-insurance-sectors

Follow up the paper of Monica Billio, Mila Getmansky, Andrew Lo and Loriana Pelizzon, Journal of Financial Economics, 2012, vol. 104, issue 3, 535-559

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.

engine-master

ore files

equitylinkedin

errorcontainer

excelxml

A C++ dll to import/export named ranges to/from Excel from/to XML

exchangesharp

ExchangeSharp is a powerful, fast and easy to use .NET/C# API for interfacing with many crypto currency exchanges. REST and web sockets are supported.

exotic-option-pricing-using-hull-white

exotic-pricing

A collection of derivative pricing module implemented in C++ and Python

exoticoptionpriceengine_ql

solve and provide different exotic options pricing engine and hedge

extendedsvi

extract-ytm-in-cpp

Extract Yield-to-Maturities from bond price using bisection method

fair-pricing-of-abrc_py

Monte Carlo methods are used to price an Autocallable Barrier Reverse Convertible issued by Credit Suisse.

fft_pricing

Exotic option pricing using a fast Fourier transform technique (with Norberto Laghi)

ficchedgingtemp

ficctemp

finance-with-python

Financial methods in Python

financepy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

financial-numerical-recipes-in-cpp

financial_computing-cpp

Pricing of real life derivative securities, calibration of finance models and construction of continuous curves implemented in C++

financial_risk_management_py

Financial_Risk_Management

financialengineering_cpp

financialmixing

Hybrid Model

fincpp

fineautomatedmarketmaker_temp

fineelsengine