parsiad / QuantPDE
A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.
☆55Updated last year
Related projects ⓘ
Alternatives and complementary repositories for QuantPDE
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆18Updated 6 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆74Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- NYU Math-GA 2048: Scientific Computing in Finance☆106Updated 4 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- thOth is an open-source high frequency trading library in C++☆30Updated 9 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated 6 years ago
- Model Calibration with Neural Networks☆47Updated 6 years ago
- ☆39Updated 9 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆43Updated 4 years ago
- Quantitative Trading Library☆27Updated 8 years ago
- Pricing the Term Structure with Linear Regressions☆35Updated 6 years ago
- Source code for 'Options and Derivatives Programming in C++' by CARLOS OLIVEIRA☆34Updated 7 years ago
- QuantLib with adjoint algorithmic differentiation (AAD)☆45Updated 8 years ago
- Arbitrage free SVI Surface☆13Updated 6 years ago
- ☆49Updated 5 months ago
- general purpose backtesting platform, prevents look-ahead bias☆30Updated 13 years ago
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 4 years ago
- Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms☆84Updated 11 years ago
- AAD enabled and scripting included derivatives modeling.☆19Updated last month
- An xVA quantitative library written in python using tensorflow☆15Updated 5 months ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆61Updated 6 years ago
- a new simulator for statistical arbitrage☆14Updated 9 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆20Updated 4 years ago
- The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation…☆62Updated 9 years ago
- Algo execution engine☆89Updated 8 years ago