Python Financial ENGineering (PyFENG package in PyPI.org)
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Updated
Jun 12, 2024 - Python
Python Financial ENGineering (PyFENG package in PyPI.org)
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.
Quantitative finance and derivative pricing
Determine implied volatility according to Black-Scholes dynamics.
Lunchbox of basic quantitative models in practice
Black Scholes Model and Heston Model
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