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5 repositories

FE-R
Public
Financial Engineering in R
derivatives option-pricing quantitative-finance
derivatives option-pricing quantitative-finance mathematical-finance black-scholes financial-engineering implied-volatility bachelier
R
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GNU General Public License v3.0
•4•16•2•0•Updated Jun 22, 2026Jun 22, 2026
Fast-Swaption-Matlab
Public
Matlab code for Choi & Shin (2016)
MATLAB
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GNU General Public License v2.0
•1•0•0•0•Updated Apr 1, 2023Apr 1, 2023
SumBSM-R
Public
The R code of the "Sum of all Black-Scholes-Merton models" paper
derivatives quadrature black-scholes
derivatives quadrature black-scholes spread-option basket-option asian-option
R
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MIT License
•5•4•0•0•Updated May 26, 2022May 26, 2022
NSVh-R
Public
The R code set for "Normal Stochastic Volatility Model" paper.
MIT License
•2•0•0•0•Updated Feb 18, 2021Feb 18, 2021
InvGaussianQuad-R
Public
The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"
gaussian-mixture-model gaussian-quadrature normal-inverse-gaussian
gaussian-mixture-model gaussian-quadrature normal-inverse-gaussian inverse-gaussian generalized-hyperbolic-distribution gauss-hermite-quadrature
R
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MIT License
•3•0•0•0•Updated Feb 5, 2021Feb 5, 2021

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