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advanced_research_computing_docker

asian-option-pricing

Pricing Asian options using finite difference schemes in Python

convertible-bond

convertible_bond_pricing

Convertible bond pricing for Rutgers Master's in Financial Engineering

convertible_bonds

deep-portfolio-optimisation

This repo contains work related to a semester project undertaken at ETHZ in the Spring term of 2020 as part of the course Machine Learning in Finance. It considers a Neural Network approach to the portfolio optimisation problem with multiple assets.

differential_equations_in_cpp

fastpricing

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

financialoptionsmodelling

Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods

gleam

A library of code that implements discrete local volatility surfaces.

neuralsde

nm-heston

ADI Finite Difference schemes for option pricing using the Heston model

optimizingnumericalpde

Explicit method, Crank Nicholson, ADI for parabolic PDEs

option-pricing

Finite Difference and Monte Carlo Approaches to Pricing Options (European, American, Down-and-Out Barrier and Arithmetically-Averaged Asian)

pricing-convertible-bonds-using-cox-ross-rubistein-model

Pricing Convertible Bonds using Cox-Ross-Rubistein model for the course of Derivatives of the master in Financial Engineering at EPFL

pricing-options-with-black-scholes

proj_option_pricing_matlab

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

pyfeng

Python Financial ENGineering (PyFENG package in PyPI.org)

pyfengforpapers

Python Code for Quantitative Finance Papers

pysabr

SABR model Python implementation

quantfinance

Our project aims to analyze and obtain an options investment strategy, having the Oil Futures (WTI Crude Oil) as underlying. The analysis is based on a Monte Carlo simulation that takes the historical data of the underlying from Yahoo Finance; it calculates its historical volatility and indicates its latest price (May 9, 2020). On the basis of the

quantfinancebook

Quantitative Finance book

rwnn_pde_solver

Random weighted NN based PDE solver

valuation-callables-hullwhite

Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.