danielhstahl/FFTOptionPricing

Stars
6
Rank 2,539,965 (Top 51 %)
Language
C++
Created almost 9 years ago
Updated over 6 years ago

danielhstahl/FFTOptionPricing

danielhstahl

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Option pricing using FFT

black_scholes_rust

Rust for black scholes

fang_oost_option_rust

Option pricing using fang oosterlee algorithm

argo-sparkoperator

example of using spark operator in argo

fang_oost_rust

Fang Oosterlee in Rust

onkyo-yatse-plugin

yatse plugin for onkyo/integra receivers

binomial_tree_rust

Binomial Tree Option Calculator in Rust

DEPRICATED-option_price_faas

Functions as a service for option pricing using rust

carr_madan_rust

Carr madan in rust

FangOost

Improved and more generic version of Fang and Oosterlee's algorithm

avprocessor

cf_functions_rust

Characteristic functions for rust

PaperMarketRisk

Paper describing some market risk techniques

HullWhite

Hull White applications for fixed income

monet

cfdistutilities

Provides some utilities for computing VaR, ES, and EL given a CF

fang_oost_cal_charts

Calibration and documentation for Fang-oost calibration

GaussNewton

A basic implementation of Gauss-Newton's optimization algorithm.

creditRisk

ops_faas

Rust app to demonstrate ops risk model in AWS Lambda

DEPRICATED--personalSite-Ember

A revamp of my site using Material Design and Ember

forward-kolmogorov

derivation of forward kolmogorov equation

BinomialTree

C++ implementation of my recombining tree calculator.

react-material-jsonschema

Example app with react, material-ui, and json schema.

RungeKutta

Numerical solution for initial value ODE's

-DEPRICATED-option_dashboard

-DEPRICATED-lending_platform

nelder_mead

neldor mead algorithm from https://www.codeguru.com/cpp/article.php/c17505/Simplex-Optimization-Algorithm-and-Implemetation-in-C-Programming.htm

TupleUtilities

Some helper functions for tuples

hull_white_rust

Hull White functions for rust

xmc-1-rest-api

market_faas

AWS Lambda functions for market risk

DuneClient

transaction-graph-template

cf_dist_utils_rust

Utilities for distributions with analytical characteristic functions

quandl

Meteor package for quandl

CharacteristicFunctions

Namespace of various Characteristic Functions

loan_ec

Rust library for handling loan risk contributions and economic capital

cuckoo_rust

Cuckoo optimization in rust

InverseTau

Implementation of the hitting time distribution

FunctionalUtilities

c++ functional utilities

getsshpubkey

Jupyter extension

Vasicek

Basic Multidimensional Vasicek

credit_faas

Rust app for AWS to exemplify credit EC

marketRisk

Market Risk applications for fixed income

xmc-voice-controller

is_smote_effective

Basic simulation to see if SMOTE is effective under ideal situations

MonteCarlo

Monte Carlo Engine

step-in-line

Library to convert annotations of python functions into amazon states language for Step Functions

resume

ModelFaaSDemo

Demo for modeling with easy validation

lnd_app

App for full node lightning networks

jupyterlite-snowflake

Jupyter Notebook