Derivative Modelling 📈

Table of Contents 📚

• Introduction
• Features
• Installation
• Usage
• Contributing
• License
• Contact

Introduction 🌟

This repository focuses on the valuation and risk modeling of various financial derivatives, including options, swaps, swaptions, and more. The project aims to provide a comprehensive toolkit for pricing and analyzing these derivatives, enabling users to make informed investment decisions.

Features 🛠️

• European Option Finite Differencing
• European Option Pricing with Binomial with CRR vs Trinomial Model
• European Option Pricing with Levy Model with NIG Process
• Valuation of Credit Default Swap using Constant Intensity
• Valuation of Equity Option using Binomial Model
• And many more...

Installation 💻

git clone https://github.com/AIM-IT4/Derivative-Modelling.git
cd Derivative-Modelling
pip install -r requirements.txt

Usage 🚀

To use any of the notebooks, simply navigate to the notebook directory and run:

jupyter notebook

Contributing 🤝

I welcome contributions! Please let me know

License 📝

This project is licensed under the MIT License - see the LICENSE.md file for details.

Contact 📧

For any questions, feel free to reach out to me at jha.8@iitj.ac.in.