jkirkby3 / fypyView external linksLinks
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
☆136Feb 27, 2025Updated 11 months ago
Alternatives and similar repositories for fypy
Users that are interested in fypy are comparing it to the libraries listed below
Sorting:
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆205Nov 19, 2024Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆56Aug 6, 2025Updated 6 months ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Oct 3, 2018Updated 7 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 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
- 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
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆48Jun 18, 2025Updated 7 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Jun 28, 2020Updated 5 years ago
- B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.☆15Aug 22, 2021Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆204Feb 6, 2026Updated last week
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Sep 22, 2020Updated 5 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 5 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
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆177Jan 28, 2026Updated 2 weeks ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Jan 11, 2022Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆18Dec 29, 2022Updated 3 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆14Dec 2, 2023Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆57Jan 5, 2023Updated 3 years ago
- Use the Finite Difference method to price European, American and Bermudan options.☆22Aug 5, 2020Updated 5 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- ☆10Mar 16, 2022Updated 3 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆20Aug 20, 2024Updated last year
- Quantitative Finance using python - Derivatives Pricing☆47Feb 18, 2018Updated 7 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆109Oct 29, 2022Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆140Sep 17, 2018Updated 7 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago