WencaiZheng / Finite-Difference-in-Option-PricingView external linksLinks
Use the Finite Difference method to price European, American and Bermudan options.
☆22Aug 5, 2020Updated 5 years ago
Alternatives and similar repositories for Finite-Difference-in-Option-Pricing
Users that are interested in Finite-Difference-in-Option-Pricing are comparing it to the libraries listed below
Sorting:
- Options Pricing using Finite Difference Methods☆16May 24, 2017Updated 8 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Deep Optimal Stopping Project☆15Jun 8, 2019Updated 6 years ago
- Derivatives pricing in modern C++.☆17Aug 22, 2022Updated 3 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆43May 22, 2024Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆89Jan 11, 2022Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- SOFR curve bootstrapping☆26Jul 17, 2020Updated 5 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆136Feb 27, 2025Updated 11 months ago
- Neural network local volatility with dupire formula☆79Jun 15, 2021Updated 4 years ago
- ☆11Oct 24, 2025Updated 3 months ago
- MATLAB code for pricing financial derivatives. Uses finite-difference methods to solve a modified version of the Black Scholes equation. …☆12Jun 11, 2018Updated 7 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆48Jun 18, 2025Updated 7 months ago
- SABR model calibration on shiny☆11Sep 16, 2013Updated 12 years ago
- A finite element method implementation in Matlab to solve the Gray-Scott reaction-diffusion equation on the surface of a sphere.☆17Mar 23, 2023Updated 2 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- 2D cubic spline approximation☆13Mar 22, 2024Updated last year
- ☆12Mar 17, 2025Updated 11 months ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- Python SDK for LUSID by FINBOURNE, a bi-temporal investment management data platform with portfolio accounting capabilities.☆10Updated this week
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Aug 6, 2017Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 3 years ago
- Black Scholes PDE to calculate Option price and Greek Letter☆11Jun 13, 2021Updated 4 years ago
- Heath–Jarrow–Morton model☆14Feb 22, 2021Updated 4 years ago
- Simple starter CMake project that uses NVBench.☆15May 6, 2025Updated 9 months ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Mar 8, 2018Updated 7 years ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Oct 11, 2025Updated 4 months ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- A Python library implementation of a classic observer pattern with observer and observable classes with usage example. Supports both pyth…☆11Apr 4, 2023Updated 2 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆16Oct 9, 2022Updated 3 years ago
- ☆54Jun 21, 2017Updated 8 years ago
- Surface SVI parameterisation and corresponding local volatility☆59May 10, 2020Updated 5 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Stock selection and portfolio performance based on ESG Scores☆14Mar 16, 2021Updated 4 years ago
- Daily kata from Quantitative Investment Portfolio Analytics In R☆16Aug 7, 2019Updated 6 years ago