exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical methods.
This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…
This repository contains production-style implementations of quantitative models for pricing derivatives, with a focus on Monte Carlo methods and market-consistent calibration.
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.
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