jkirkby3/pymle

Stars
28
Rank 882,216 (Top 18 %)
Language
Python
License
MIT License
Created over 3 years ago
Updated over 1 year ago

jkirkby3/pymle

jkirkby3

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Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)

PROJ_Option_Pricing_Matlab

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

fypy

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 financial models to market data.

BsplineDensity

B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.