Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Generate realizations of stochastic processes in python.

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

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Optio…

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

Monte Carlo option pricing algorithms for vanilla and exotic options

Quantitative finance and derivative pricing

Numerical experiments with stochastic differential equations

A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)

R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"

Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods

Stochastic volatility models and their application to Deribit crypro-options exchange

Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.

This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.

Demonstrates 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.

Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)

A Python implementation of E. Robert Fernholz's Stochastic Portfolio Theory framework. This library provides tools for researchers, quantitative analysts, and portfolio managers to analyze, optimize, and simulate equity portfolios using the mathematical framework of Stochastic Portfolio Theory.