orlovt / OptionsPricingCPPLinks
High-performance C++ implementation of critical option pricing models: Black-Scholes, Binomial, Finite Difference, and Monte Carlo.
☆18Updated last year
Alternatives and similar repositories for OptionsPricingCPP
Users that are interested in OptionsPricingCPP are comparing it to the libraries listed below
Sorting:
- AAD enabled and scripting included derivatives modeling.☆22Updated 2 weeks ago
- A C++ 20 backtesting library.☆41Updated 9 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 10 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 months ago
- ☆66Updated 11 months ago
- C++ Trading Algorithm Backtest Environment☆95Updated 7 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆111Updated 7 years ago
- C++ implementation of options pricing models☆76Updated 8 years ago
- Algorithmic Trading in C++☆42Updated 4 years ago
- C++ implementation of rBergomi model☆25Updated 7 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- ☆60Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 2 months ago
- A C++ ultra low latency trading engine with O(1) performance of order execution, order update, order cancel, O(log(n)) for order book ana…☆52Updated 5 years ago
- ☆43Updated 10 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆189Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Python repository with various projects in Machine Learning and Finance☆14Updated last week
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- QuantMinds Rough Volatility Workshop lectures☆61Updated 4 months ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆27Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆131Updated 10 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- C++ examples.☆165Updated 2 weeks ago
- Derivatives pricing in modern C++.☆16Updated 3 years ago
- Nasdaq Order Book Reconstructor☆266Updated 4 years ago
- This repository houses all source code, Jupyter Notebooks and related materials necessary to follow and collaborate on Quant Research con…☆31Updated 3 years ago
- orderbook based backtesting suite using MBO data from Databento☆29Updated 5 months ago