Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing
☆20Jul 4, 2018Updated 8 years ago
Alternatives and similar repositories for MTH9821-Numerical-Methods-for-Finance
Users that are interested in MTH9821-Numerical-Methods-for-Finance are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated this week
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆12May 13, 2020Updated 6 years ago
- This is a repository of scripts developed as part of the 2020 ENCMP100 Section B3 lecture taught at University of Alberta.☆10Apr 2, 2020Updated 6 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆11Sep 12, 2026Updated 2 weeks ago
- Numerical Methods in Finance☆20Jun 8, 2018Updated 8 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated 2 years ago
- You hum the song, it gives you the time.☆12Feb 4, 2017Updated 9 years ago
- Yahoo Finance Python Interface☆16Feb 8, 2020Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆27Dec 9, 2017Updated 8 years ago
- A Repository for all the resources to learn finance through Python☆55Aug 12, 2026Updated last month
- An Agent-Based Financial Platform. See how evolve agents in a realistic double auction order book☆12Jun 21, 2022Updated 4 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22May 31, 2022Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆61Jan 5, 2023Updated 3 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- [PACIS 2024] The official repo for the paper: "Phase Space Reconstructed Neural Ordinary Differential Equations Model for Stock Price For…☆10May 21, 2025Updated last year
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆20Aug 6, 2020Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆14Mar 23, 2017Updated 9 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Jan 11, 2026Updated 8 months ago
- ☆11Dec 18, 2015Updated 10 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆15May 24, 2018Updated 8 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆13Apr 14, 2022Updated 4 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- 🎓 Uni-Bonn Decision Analysis graduate course, lectures and materials☆27Jun 24, 2026Updated 3 months ago
- implementation of the two-factor quintic OU model☆14Mar 19, 2025Updated last year
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Nov 12, 2018Updated 7 years ago
- Agent simulation of aerial search and rescue in the Unity Framework☆11Jun 3, 2014Updated 12 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Jul 10, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Collection of Jane Street Puzzles that I have gone back to solve☆13Mar 1, 2026Updated 6 months ago
- Implementation of fundamental concepts and algorithms for reinforcement learning☆15May 24, 2020Updated 6 years ago
- ☆16Jul 17, 2020Updated 6 years ago
- ☆13Mar 3, 2024Updated 2 years ago
- Pricing Asian options using finite difference schemes in Python☆11Jun 20, 2025Updated last year
- Computers, Waves, Simulations: A Practical Introduction to Numerical Methods using Python☆15Jan 21, 2020Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29May 1, 2022Updated 4 years ago