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  1. Pyrgos Pyrgos Public

    Репозиторий содержит коды программного комплекса "Пиргос" (разработан в при поддержке РФФИ в рамках проекта 15-32-01390), направленного на регистрацию в ФГБУ «Федеральный институт промышленной собс…

    Jupyter Notebook 1 2

  2. wh-barrier-c- wh-barrier-c- Public

    Forked 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++

  3. wh-Hes-python-pycharm wh-Hes-python-pycharm Public

    Forked from vrodochenko/wh-Hes-python-pycharm

    Purely pycharm-based (due to the import structures) repo for W-H Heston calculation

    Python

  4. wh-barrier-python wh-barrier-python Public

    Forked from vrodochenko/wh-barrier-python

    mainly a pseudocode of Wiener-Hopf factorization for pricing american put in Heston model

    Jupyter Notebook

  5. VolatilityIndexLevy VolatilityIndexLevy Public

    A 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

  6. VolatylityIndexLevyCPP VolatylityIndexLevyCPP Public

    Репозиторий 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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