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 finan…

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

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

B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.