AQFED.jl
Julia package for the book "Applied Quantitative Finance for Equity Derivatives"
Install / Use
/learn @jherekhealy/AQFED.jlREADME
AQFED.jl
Julia package for the book Applied Quantitative Finance for Equity Derivatives
Installation
A simple way to get started is to clone the repository, start julia from the AQFED folder, type ] to enter the package environment and do
(v1.5) pkg> activate .
Then ESC or CTRL+C to exit the pkg env.
Available Modules
- Implied Volatility Solver: fast and robust solvers to find the Black-Scholes implied volatility corresponding to a given option price.
- Piecewise-Lognormal Model (also known as spot model) for cash dividends: fast and accurate approximations.
- American Option Pricing: Andersen-Lake technique.
- Basket Option Pricing: Curran approximations, which may also be reused to price Asian options or vanilla options in the piecewise-lognormal model.
- Collocation: fit market implied vols via stochastic collocation.
- Bachelier: Bachelier formula and corresponding implied vol "solver".
- Random Number Generators: good pseudo and quasi random number generators.
