stochastic-volatility-models topic

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

google-research

Generate realizations of stochastic processes in python.

crflynn

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

jkirkby3

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valua...

lakshmiDRIP

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation....

jcfrei

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

compops

Numerical experiments with stochastic differential equations

ocramz

A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)

RonsenbergVI

Monte Carlo option pricing algorithms for vanilla and exotic options

732jhy