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wh-barrier-c-
wh-barrier-c- PublicForked from vrodochenko/wh-barrier-c-
written mainly in pure C, this one calculates heston barrier option much faster then the python implementation, at the cost of readability. The code and algorithms provided are invented during the …
C++
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wh-Hes-python-pycharm
wh-Hes-python-pycharm PublicForked from vrodochenko/wh-Hes-python-pycharm
Purely pycharm-based (due to the import structures) repo for W-H Heston calculation
Python
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wh-barrier-python
wh-barrier-python PublicForked from vrodochenko/wh-barrier-python
mainly a pseudocode of Wiener-Hopf factorization for pricing american put in Heston model
Jupyter Notebook
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VolatilityIndexLevy
VolatilityIndexLevy PublicA model-free volatility index for a class of Levy models. The code and algorithms provided are invented during the research supported by RFBR grant (project 15-32-01390)
Python
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VolatylityIndexLevyCPP
VolatylityIndexLevyCPP PublicРепозиторий содержит коды продукта, вычисляющего индекс волатильности, свободный от модели для класса моделей Леви. Разработан в при поддержке РФФИ в рамках проекта 15-32-01390. Model-free volatili…
C++
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