exotic-options

Building dataset of crypto markets on polymarket and cross referancing them with options data from deribit to create a accurate backtest dataset for free

Financial Engineering in IRFX in C++

A Python library for options pricing and Greeks computation.

Worst-of Phoenix autocallable pricer on Euro Stoxx 50 / S&P 500 / Nikkei 225: Lewis characteristic-function Heston calibrated to the live option surface, Cholesky-correlated multi-asset Monte Carlo, memory coupons and European knock-in, fair-coupon solver and the skew premium the desk hedges.

A comparative analysis of concurrency primitives in Rust for performance optimisation of a Monte Carlo exotic equity derivative pricing engine, benchmarking 8 strategies across thread utilisation, memory footprint, and convergence behaviour with a custom profiler TUI.

Derivatives pricing & market risk reports: binomial trees, Monte Carlo, Greeks & implied vol surface, barrier/Asian/lookback options, Heston stochastic vol, VaR. Excel/VBA & Python, with real market data.

Checks a derivative pricing model against closed-form, lattice, PDE and Monte Carlo reference engines, then reports what is wrong in plain language. Vanilla and exotic options; Black-Scholes, Heston and local volatility.

Monte Carlo pricer for down-and-out barrier call options under Geometric Brownian Motion. 252 discrete steps per path so the barrier is monitored properly, Mersenne Twister, early exit on breach.

From-scratch Python Monte Carlo library for option pricing and market risk: European options validated against Black-Scholes, variance reduction, Asian and barrier options (BGK correction), and VaR/ES on real CAC 40 data with Kupiec/Christoffersen backtests. Every result comes with a confidence interval and tests.

Official Python SDK for the Prometheus Quant Engine. High-Performance C++ Monte Carlo options pricing API with Pandas integration.

Python integration examples and Jupyter Notebooks for the Prometheus Quant Engine API. High-performance Monte Carlo pricing for exotic and path-dependent options.

Monte Carlo pricing of Asian and Lookback exotic options with Euler-Maruyama simulation and Greeks analysis

High-performance, multithreaded stochastic option pricing engine in C++20. Prices vanilla, Asian, and Barrier options under Black-Scholes and Heston Stochastic Volatility models using antithetic variance reduction and full-truncation Euler schemes.

Derivatives pricing library and interactive web app: options, volatility surfaces, exotics, rates, structured products and credit risk, with tree, PDE, Monte Carlo and Fourier engines validated against QuantLib.

C++20 research Monte Carlo engine for path-dependent exotics with adaptive spatial/temporal refinement, constitutive-style vol dynamics, pathwise Greeks, and reproducible error budgets.

Pricing of Parisian options using binomial trees and Monte Carlo simulation methods.

Arbitrage-free SVI/SSVI implied-volatility surfaces, Dupire local volatility, and a from-scratch Crank-Nicolson PDE for exotic option pricing and hedging on SPX (OptionMetrics IvyDB, 2012-2024)

Illustrative Jupyter notebooks covering yield curves, fixed income, derivatives, XVA, Monte Carlo simulation, and quantitative risk analytics.

Código de apoyo del libro El Precio de la Incertidumbre: valuación avanzada de opciones con Python (Liber Jaime Merlos). Black-Scholes, árboles binomiales, griegas, Heston, Monte Carlo, Longstaff-Schwartz, exóticas, opciones reales y dashboards.

Autocallable notes priced by randomised quasi-Monte Carlo, with the fair coupon solved in closed form from one simulation. Live in-browser structuring desk.