Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

In this repo you will find some tools related to pricing and risk measurement of options. You can find tools to calculate the price of an option like de Black-Scholes or Heston Model, or to get implied volatilities.

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

C# pricer that allows users to price a wide range of financial products.

The project aims to compare the effectiveness of the Heston model and WGAN-GP in modeling financial time series data.