Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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.
A set of utilities for working with Google Video APIs.
YouTube client built with Vue, demonstrating SABR playback via YouTube.js & googlevideo
Production-quality volatility surface library for Rust
Package for option pricing and volatility calibration for index (and FX) options
SABR NelderMead volatility
YouTube broke your downloads. We fixed it. Permanently. SABR quality fix + bot detection bypass + cloud deployment guide. Battle-tested in production.
C++20 quantitative finance library for volatility surface modelling and derivatives pricing.
led-sequence in imx6qdl-sabresd
Fit implied vol curves to option prices using SVI and SABR
Multi-asset option pricing toolkit using SABR volatility model and t-Copula dependency. Includes SABR calibration with robust loss, copula fitting & model selection, and pricing of basket, range accrual, and snowball structures with Greeks analysis.
Volatility smile analysis using Black-Scholes and SABR models on real SPY options market data.
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