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  1. QuantAndFinancial QuantAndFinancial Public

    This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com

    Jupyter Notebook 126 127

  2. PYBOR PYBOR Public

    PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python

    Jupyter Notebook 40 18

  3. AutomaticDifferentiation AutomaticDifferentiation Public

    Demo project to illustrate principles and benefits of automatic differentiation in quantitative finance

    C++ 8 6

  4. AmericanMonteCarlo AmericanMonteCarlo Public

    Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise features.

    Jupyter Notebook 25 5

  5. FamaFrench FamaFrench Public

    Implementation of 5-factor Fama French Model

    Jupyter Notebook 116 46

  6. BlackLitterman BlackLitterman Public

    Implementation of the famous Black-Litterman model in Jupyter notebook

    Jupyter Notebook 40 16