parsiad / QuantPDE
A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.
☆56Updated last year
Alternatives and similar repositories for QuantPDE:
Users that are interested in QuantPDE are comparing it to the libraries listed below
- QuantLib ported to C++17 and with all Boost dependency removed☆74Updated 7 years ago
- C++ implementation of rBergomi model☆24Updated 6 years ago
- C++ trading client with Qt gui☆40Updated 10 years ago
- general purpose backtesting platform, prevents look-ahead bias☆29Updated 13 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆105Updated 4 years ago
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆19Updated 6 years ago
- Model Calibration with Neural Networks☆46Updated 6 years ago
- high-frequency trading☆58Updated 12 years ago
- Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms☆84Updated 11 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- ☆40Updated 9 years ago
- AAD enabled and scripting included derivatives modeling.☆21Updated this week
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- Quantitative Trading Library☆28Updated 8 years ago
- C++ Trading Algorithm Backtest Environment☆87Updated 6 years ago
- ☆28Updated 9 years ago
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- α collection of resources for people interested in quant finance☆52Updated 6 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆46Updated 8 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆25Updated 11 years ago
- quant++: A C++ quantitative trading framework.☆22Updated 12 years ago
- MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization☆29Updated 9 years ago
- Implementations of the Heston stochastic volatility model☆24Updated 9 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆62Updated 6 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆12Updated 2 years ago
- Algo execution engine☆91Updated 8 years ago
- Basic event driven platform for backtesting financial strategies in C++☆13Updated 9 years ago