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Financial Engineering in Python

Python (and other languages) implementation of financial engineering papers, managed by @jaehyukchoi

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  1. PyFENG PyFENG Public

    Python Financial ENGineering (PyFENG package in PyPI.org)

    Python 151 71

  2. PyfengForPapers PyfengForPapers Public

    Python Code for Quantitative Finance Papers

    Jupyter Notebook 35 18

  3. FE-R FE-R Public

    Financial Engineering in R

    R 12 5

  4. SumBSM-R SumBSM-R Public

    The R code of the "Sum of all Black-Scholes-Merton models" paper

    R 2 7

  5. InvGaussianQuad-R InvGaussianQuad-R Public

    The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"

    R 3

  6. NSVh-R NSVh-R Public

    The R code set for "Normal Stochastic Volatility Model" paper.

    2

Repositories

Showing 7 of 7 repositories
  • PyFENG Public

    Python Financial ENGineering (PyFENG package in PyPI.org)

    PyFE/PyFENG’s past year of commit activity
    Python 151 GPL-2.0 71 9 1 Updated Nov 6, 2024
  • PyfengForPapers Public

    Python Code for Quantitative Finance Papers

    PyFE/PyfengForPapers’s past year of commit activity
    Jupyter Notebook 35 GPL-3.0 18 0 0 Updated Oct 2, 2024
  • Fast-Swaption-Matlab Public

    Matlab code for Choi & Shin (2016)

    PyFE/Fast-Swaption-Matlab’s past year of commit activity
    MATLAB 0 GPL-2.0 0 0 0 Updated Apr 1, 2023
  • SumBSM-R Public

    The R code of the "Sum of all Black-Scholes-Merton models" paper

    PyFE/SumBSM-R’s past year of commit activity
    R 2 MIT 7 0 0 Updated May 26, 2022
  • FE-R Public

    Financial Engineering in R

    PyFE/FE-R’s past year of commit activity
    R 12 GPL-3.0 5 2 0 Updated Mar 17, 2021
  • NSVh-R Public

    The R code set for "Normal Stochastic Volatility Model" paper.

    PyFE/NSVh-R’s past year of commit activity
    0 MIT 2 0 0 Updated Feb 18, 2021
  • InvGaussianQuad-R Public

    The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"

    PyFE/InvGaussianQuad-R’s past year of commit activity
    R 0 MIT 3 0 0 Updated Feb 5, 2021

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