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FinMathKit

Research project on financial math (option pricing, hedging, interest rate, etc...)

Includes

  1. Pricer for european options via Monte Carlo simulation (GBM model, CEV model + support risk-neutral measure)
  2. Delta-hedging which is also based on Monte Carlo simulation (GBM model only, FIXIT)
  3. Pricer for options via numerical solution of PDEs (Feynman-Kac and Fokker-Planck)

Requirements

  • c++ compiler
  • git
  • cmake

Installation and Testing

$ git clone https://github.com/davidmiheev/FinMathKit/
$ cd FinMathKit/
$ ./sirius.sh

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Research project on financial math (option pricing, hedging, interest rate, etc...)

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