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Collection of notebooks about quantitative finance, with interactive python code.

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benzyx/Financial-Models-Numerical-Methods

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functions
functions
 
 
latex
latex
 
 
.gitignore
.gitignore
 
 
1.1 Black-Scholes numerical methods.ipynb
1.1 Black-Scholes numerical methods.ipynb
 
 
1.2 SDE simulations and more.ipynb
1.2 SDE simulations and more.ipynb
 
 
1.3 Fourier transform methods.ipynb
1.3 Fourier transform methods.ipynb
 
 
2.1 Black-Scholes PDE and sparse matrices.ipynb
2.1 Black-Scholes PDE and sparse matrices.ipynb
 
 
2.2 Exotic options.ipynb
2.2 Exotic options.ipynb
 
 
2.3 American Options.ipynb
2.3 American Options.ipynb
 
 
3.1 Merton jump-diffusion, PIDE method.ipynb
3.1 Merton jump-diffusion, PIDE method.ipynb
 
 
3.2 Variance Gamma model, PIDE method.ipynb
3.2 Variance Gamma model, PIDE method.ipynb
 
 
4.1 Option pricing with transaction costs.ipynb
4.1 Option pricing with transaction costs.ipynb
 
 
A.1 Solution of linear equations.ipynb
A.1 Solution of linear equations.ipynb
 
 
A.2 Optimize and speed up the code. (SOR algorithm, Cython and C).ipynb
A.2 Optimize and speed up the code. (SOR algorithm, Cython and C).ipynb
 
 
A.3 Introduction to Lévy processes and PIDEs.pdf
A.3 Introduction to Lévy processes and PIDEs.pdf
 
 
Bates Filtering.ipynb
Bates Filtering.ipynb
 
 
Correlation tracking (Kalman).ipynb
Correlation tracking (Kalman).ipynb
 
 
Heston model (Kalman).ipynb
Heston model (Kalman).ipynb
 
 
Kalman regression.ipynb
Kalman regression.ipynb
 
 
LICENSE
LICENSE
 
 
NIG Process.ipynb
NIG Process.ipynb
 
 
README.md
README.md
 
 
The Heston model.ipynb
The Heston model.ipynb
 
 
ZZ_tests.ipynb
ZZ_tests.ipynb
 
 
docker_start_notebook.py
docker_start_notebook.py
 
 

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Financial-Models-Numerical-Methods

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docker exec -it Numeric_Finance bash
cd work/functions/cython
python setup.py build_ext --inplace

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Collection of notebooks about quantitative finance, with interactive python code.

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