Rust library for quantitative finance.

Python Financial ENGineering (PyFENG package in PyPI.org)

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 financial models to market data.

Master's Degree Thesis: Applying Reinforcement Learning to Option Pricing and Hedging

Financial Math

R Finance packages not listed in the Empirical Finance Task View

Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2011), ISBN 978-0123756626.

Compilation of select advanced options pricing models i.e. Black-Scholes, Monte-Carlo, Binomial

Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

Python/Streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.

R package to download historical bhavcopy of Equities and F&O, get live market data, plot treemap of movement in securities

Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.

C++ Opensource Phinance Engine

Use of LSTM to predict the implied volatility skew in financial markets

This Python script helps financial enthusiasts and professionals understand the dynamics of American put options by calculating their exercise boundary.

A nimble options backtesting library for Python

Package for deploying lattice models for option pricing

Code of numerical experiments in Master's thesis [TBD]

Quantitative finance and derivative pricing

C++ 17 based library (with sample applications) for testing equities, futures, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. Some support for Alpaca & Phemex. Notifications via Telegram [irc: Libra #tradeframe ]