willowtree
Derivatives Pricing Model
An efficient Python implementation of a derivatives pricing model that models standard Brownian motion and offers fast and accurate pricing of derivative contracts.
Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.
240 stars
6 watching
26 forks
Language: Python
last commit: about 8 years agoLinked from 1 awesome list
derivatives-pricingfinancial-engineeringpython-3standard-brownian-motionwillow-tree
wilsonfreitas/awesome-quantRelated projects:
| Repository | Description | Stars |
|---|---|---|
 domokane/financepy | A comprehensive Python library for pricing and risk management of financial derivatives. | 2,179 |
 quantsbin/quantsbin | Provides tools for pricing and analyzing financial derivatives in Python | 501 |
 dbrojas/optlib | A Python library for pricing financial options using closed-form solutions and TDAmeritrade API | 665 |
 jkirkby3/fypy | A comprehensive Python library for pricing exotic financial options and contracts using various analytical and numerical methods. | 83 |
 yhilpisch/dx | A Python-based financial analytics library for modeling and valuing complex derivatives instruments and portfolios | 719 |
| federicomariamassari/financial-engineering | An application of Monte Carlo methods to model financial engineering scenarios with jumps in underlying asset prices | 373 |
| yhilpisch/dawp | Provides Jupyter Notebooks and code for Derivatives Analytics with Python by Yves Hilpisch. | 600 |
 dedwards25/python_option_pricing | Provides a Python library for calculating the prices of various types of financial options using closed-form solutions. | 654 |
 attack68/rateslib | A Python library designed to facilitate fixed income analysis with pricing tools and risk calculations | 164 |
| attack68/book_irds3 | A repository of code and examples for pricing interest rate derivatives | 61 |
 mgroncki/ipythonscripts | A collection of Python notebooks focused on quantitative finance and derivatives pricing using the QuantLib library. | 151 |
 ryanmccrickerd/rough_bergomi | An implementation of the rough Bergomi model for stochastic volatility and option pricing in Python. | 115 |
 auto-differentiation/xad-py | Provides automatic differentiation capabilities for numerical computations in Python | 12 |
 deltaray-io/kelly-criterion | Calculates optimal capital allocation for a portfolio based on historical stock prices and a risk management strategy. | 93 |
 letianzj/quanttrader | A Python-based backtesting and live trading package for quantitative traders. | 541 |