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  1. break-even-volatility-toolkit break-even-volatility-toolkit Public

    BEVL Toolkit is a Python library for constructing Break-Even Volatility (BEVL) surfaces — the volatility level that makes the expected P&L of a delta-hedged option equal to zero.

    Python

  2. PyFE/PyFENG PyFE/PyFENG Public

    Python Financial ENGineering (PyFENG package in PyPI.org)

    Python 176 74

  3. Monte_Carlo Monte_Carlo Public

    Monte Carlo option pricing experiments under the Black-Scholes model using variance reduction techniques.

    Jupyter Notebook

  4. Quant-Developers-Resources Quant-Developers-Resources Public

    Forked from cybergeekgyan/Quant-Developers-Resources

    Resources to Prepare for Quant Developers/ Quantitative Researcher/ Quantitative Trader/ Quant Analyst/ Software Engineers in Quant Trading Firms and HFTs

  5. SABR-copula-pricing SABR-copula-pricing Public

    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 ac…

    Python 1