Justin Lars Kirkby
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3
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Justin Lars Kirkby
PROJ_Option_Pricing_Matlab
156
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Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
fypy
68
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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 financi...
pymle
41
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12
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Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)