Quantitative Finance tools

Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

My answers to exercises in Stochastic Calculus for Finance by Steven E. Shreve.

Pricing weather futures using an ARIMA model and 8 years' worth of scraped weather data.

real-time predictive options model - mathematical modeling

Repositório com o código-fonte do Derivativos e Risco de Mercado

Financial Engineering in IRFX in C++

Note on financial mathematics

An implementation of the Longstaff-Schwartz algorithm, which we use to price a convertible bond.

An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices and maturities. We also show that the Heston model captures volatility smiles/smirks/skews.