Alternatives and similar repositories for derivatives

Users that are interested in derivatives are comparing it to the libraries listed below

• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆125Updated 2 months ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆116Updated 6 years ago
• jkirkby3 / PROJ_Option_Pricing_Matlab
  Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…
  ☆205Updated last year
• jgatheral / RoughVolatilityWorkshop
  QuantMinds Rough Volatility Workshop lectures
  ☆58Updated 3 months ago
• AIM-IT4 / InterestRateModelsCpp
  ☆24Updated last year
• WencaiZheng / Finite-Difference-in-Option-Pricing
  Use the Finite Difference method to price European, American and Bermudan options.
  ☆22Updated 5 years ago
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆51Updated 5 years ago
• brnohu / CompFin
  This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…
  ☆42Updated last year
• JackJacquier / python-for-finance
  Python for Finance module for Imperial MSc in Mathematics and Finance
  ☆114Updated last month
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆134Updated 7 years ago
• kangzhan / SVI-Surface
  Arbitrage free SVI Surface
  ☆14Updated 7 years ago
• wegamekinglc / Derivatives-Algorithms-Lib
  AAD enabled and scripting included derivatives modeling.
  ☆22Updated this week
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 7 years ago
• marc-henrard / algorithmic-differentiation-book
  Tutorial for the book "Algorithmic Differentiation in Finance"
  ☆16Updated 8 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆103Updated 9 months ago
• nburgessx / QuantResearch
  Quant Research
  ☆95Updated last month
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆26Updated 5 years ago
• asavine / CompFinance
  Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)
  ☆189Updated 4 years ago
• jkirkby3 / fypy
  Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…
  ☆130Updated 9 months ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 7 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆18Updated last year
• luphord / yield_curve_dynamics
  A cursory look at the dynamics of zero coupon bond yield curves.
  ☆15Updated 2 years ago
• ZewenShen / hdp
  A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…
  ☆29Updated 5 years ago
• cheerzzh / CPP-design-pattern-derivatives-pricing
  My codes and notes for Joshi's book: c++ design patterns and derivatives pricing
  ☆144Updated 11 years ago
• yadongli / nyumath2048
  NYU Math-GA 2048: Scientific Computing in Finance
  ☆110Updated 5 years ago
• omartinsky / HJM
  Heath–Jarrow–Morton model
  ☆13Updated 4 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• amuguruza / NN-StochVol-Calibrations
  We implement the paper: Deep Learning Volatility
  ☆201Updated 5 years ago
• AIM-IT4 / QuantitativeDerivativeModels
  ☆47Updated 2 years ago
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆44Updated last year