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icej1324's Projects

fypy icon fypy

Vanilla 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.

papers icon papers

A bib file with references I've been collecting (plus a small TeX file to typeset them)

proj_option_pricing_matlab icon proj_option_pricing_matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

pymle icon pymle

Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)

quadpy icon quadpy

Numerical integration (quadrature, cubature) in Python

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