exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical methods.
This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…
This project aims to construct the Equity Implied Volatility surface under the SABR model.
Quantitative finance project focused on options pricing, hedging strategies, and risk management. This repository implements Black-Scholes pricing, Greeks calculation, volatility modeling, Monte Carlo simulation, and multi-factor hedging techniques to neutralize delta, gamma, and vega risks in an options portfolio. Built in Python for research, fin
Worst-of Phoenix autocallable pricer on Euro Stoxx 50 / S&P 500 / Nikkei 225: Lewis characteristic-function Heston calibrated to the live option surface, Cholesky-correlated multi-asset Monte Carlo, memory coupons and European knock-in, fair-coupon solver and the skew premium the desk hedges.
This project aims to implement Convertible Bonds pricing and risk analytics.
This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.
A comparative analysis of concurrency primitives in Rust for performance optimisation of a Monte Carlo exotic equity derivative pricing engine, benchmarking 8 strategies across thread utilisation, memory footprint, and convergence behaviour with a custom profiler TUI.
A native quantitative market terminal with btc-depth real-time data and risk management station. Features include real-time market depth analysis, algorithmic portfolio tracking, and custom risk profiling architecture.
SPY implied volatility surface: IV extraction, per-slice SVI calibration, arbitrage verification (Durrleman, calendar), and SSVI surface fit
C++20 pricing engine for equity derivatives, focused on Black-Scholes and Heston stochastic volatility models. Includes Fourier-based pricing via characteristic function inversion, Carr-Madan transform, and Gauss-Legendre quadrature for efficient numerical valuation.
This repository contains production-style implementations of quantitative models for pricing derivatives, with a focus on Monte Carlo methods and market-consistent calibration.
R implementation of the US equity risk premium derived from the futures contracts linked to the S&P 500 Annual Dividend Index and the net buybacks, forecast as a percentage of the consensus S&P 500 earnings.
BGC Group — independent third-party profile of a public API surface, by API Evangelist. BGC Group, Inc. (NASDAQ: BGC), formerly BGC Partners, is a global brokerage and financial technology firm. Headquartered in New York and London, BGC operates electronic and voice broking across foreign exchange, interest rate derivatives, fixed income, energy an
To associate your repository with the equity-derivatives topic, visit your repo's landing page and select "manage topics."