#Heston-model
Showing 9 of 9 repositories tagged #heston-model, ranked by stars
Collection of notebooks about quantitative finance, with interactive python code.
OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes.
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Python Financial ENGineering (PyFENG package in PyPI.org)
Quantitative finance and derivative pricing
Modelling the implicit volatility, using multi-factor statistical models.
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.
Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (stochastic vol + jumps), Local Vol (Dupire). Analytic Greeks, fast IV solver (Halley), monotone cubic spline surfaces. Parallel batch pricing via Rayon.