My codes and notes for Joshi's book: c++ design patterns and derivatives pricing
☆157Jul 18, 2014Updated 12 years ago
Alternatives and similar repositories for CPP-design-pattern-derivatives-pricing
Users that are interested in CPP-design-pattern-derivatives-pricing are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Derivatives pricing in modern C++.☆18Apr 15, 2026Updated 6 months ago
- Quantitative Finance exercises from Mark Joshi's textbooks☆15Dec 17, 2013Updated 12 years ago
- Quantitative Finance using python - Derivatives Pricing☆47Feb 18, 2018Updated 8 years ago
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆11Sep 16, 2019Updated 7 years ago
- Quant finance scripts☆15Apr 13, 2025Updated last year
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- My solutions for the “C++ Programming for Financial Engineering” Online Certificate. It is a joint project by the Baruch MFE program, Dr.…☆58Feb 9, 2019Updated 7 years ago
- Implementation of a simple matching engine and an order book for a stock exchange☆13Aug 28, 2017Updated 9 years ago
- ☆14Oct 10, 2024Updated 2 years ago
- AAD enabled and scripting included derivatives modeling.☆27Updated this week
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆202Sep 10, 2021Updated 5 years ago
- ☆17Nov 16, 2016Updated 9 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆69Mar 10, 2023Updated 3 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 6 years ago
- Baruch MFE program quant lab☆20Feb 19, 2017Updated 9 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- ☆556Aug 5, 2018Updated 8 years ago
- Implementation of financial models in pricing derivatives and implementation of python object oriented programming (OOP) features: 1. Fi…☆16Mar 26, 2018Updated 8 years ago
- The QuantLib C++ library☆7,740Updated this week
- Example for Interest Rate Modelling Lecture☆15Sep 20, 2026Updated last month
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆28Dec 9, 2017Updated 8 years ago
- Using C++ to build Nine Almonds, Checkers, Magic Square, Reversi , Chess, Tic Tac Toe Game.☆22Jul 27, 2016Updated 10 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆47Jan 9, 2025Updated last year
- Financial Markets Microstructure course (UCPH, Masters in Econ)☆28Aug 25, 2025Updated last year
- Note about cousera online course: ml and rl in finance☆29Apr 14, 2019Updated 7 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- ☆16Jul 13, 2021Updated 5 years ago
- Reimplementing QuantLib examples by Python☆72Sep 23, 2022Updated 4 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆209Nov 19, 2024Updated last year
- A sample application that deals with foreign exchange, using ASP.NET MVC and Windows Services. Designed to demonstrate deployment with Oc…☆12Jun 22, 2022Updated 4 years ago
- Explore building an advanced infrastructure for enhancing QuantConnect with Snowflake, Databricks, Airflow & AWS. Learn the basics of qua…☆15Jan 27, 2024Updated 2 years ago
- iversity course -- python implementation☆225Apr 21, 2014Updated 12 years ago
- A Python demo for SWIG☆16Aug 23, 2022Updated 4 years ago
- SABR stochastic volatility model: calibration, implied-volatility surfaces and conditional Monte Carlo (MSc thesis, BSE)☆10Sep 27, 2026Updated last month
- 计算中国偏度指数（CBOE skew index）☆15May 23, 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.
- Notes for Active Portfolio Management, by Grinold and Kahn☆47May 17, 2016Updated 10 years ago
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆54May 13, 2020Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 5 years ago
- ☆11Jun 21, 2022Updated 4 years ago
- ☆14Jun 21, 2019Updated 7 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆180Feb 28, 2026Updated 8 months ago