#Stochastic-volatility-models

google-research

torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

jkirkby3

PROJ_Option_Pricing_Matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

quantmind

quantflow

Quantitative finance and derivative pricing

RoughStochVol

regularity_structure_finance

Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.