12 skills found
cantaro86 / Financial Models Numerical MethodsCollection of notebooks about quantitative finance, with interactive python code.
jkirkby3 / PROJ Option Pricing MatlabQuant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
jkirkby3 / FypyVanilla 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.
chicago-joe / Option Pricing Via Levy Models In Rusing the Inverse-Transform method to speed up options pricing simulations in R
phuselab / CLEConstrained Levy Exploration (CLE) generates a scanpath computing eye movements as Levy flight on a saliency map.
59alireza59 / Quantitative FinanceA Quantitative Finance Engineering Project
Obijuan / FemtoRV LearnLearning about the FemtoRV processor, by Bruno Levy
Mrktn / Heston PricingDemonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.
skiamu / ComputationalFinancefunctions and scripts for the course Computational Finance a.c. 2016/2017
Futrell / Nc Surprisal EaclCode for Futrell & Levy (2017, EACL): Noisy-Context Surprisal as a Human Sentence Processing Cost Model
NoeDebrois / Computational MathematicsA repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.
mlandis / Creepy JerkPhylogenetic method to model continuous trait evolution as a Lévy process.
