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cantaro86's
repositories
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.github
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data
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latex
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src
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1.1 Black-Scholes numerical methods.ipynb
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1.2 SDE simulations and statistics.ipynb
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1.3 Fourier transform methods.ipynb
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1.4 SDE - Heston model.ipynb
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1.5 SDE - Lévy processes.ipynb
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2.1 Black-Scholes PDE and sparse matrices.ipynb
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2.2 Exotic options.ipynb
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2.3 American Options.ipynb
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3.1 Merton jump-diffusion, PIDE method.ipynb
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3.2 Variance Gamma model, PIDE method.ipynb
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3.3 Pricing with the NIG Process.ipynb
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4.1 Option pricing with transaction costs.ipynb
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4.2 Volatility smile and model calibration.ipynb
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5.1 Linear regression - Kalman filter.ipynb
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5.2 Kalman auto-correlation tracking - AR(1) process.ipynb
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5.3 Volatility tracking.ipynb
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6.1 Ornstein-Uhlenbeck process and applications.ipynb
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7.1 Classical MVO.ipynb
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A.1 Solution of linear equations.ipynb
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A.2 Optimize and speed up the code. (SOR algorithm, Cython and C).ipynb
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.flake8
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.gitignore
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A.3 Introduction to Lévy processes and PIDEs.pdf
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CITATION.cff
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Dockerfile
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LICENSE
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README.md
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docker-compose.yml
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environment.yml
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list_of_packages.txt
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pyproject.toml
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requirements.txt
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setup.py
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