Financial Engineering in R
Fast Numba-vectorised vanilla option pricers and implied volatility fitters for Black-Scholes-Merton and Bachelier models
This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.
This repository holds the code in python to simulate the Girsanov Theorem for a Bachelier price path
Research programme on stochastic theory, speculation, markets and risk.
PyTorch replication of Differential ML with a Difference: neural option pricing, DML Greeks, and Monte Carlo experiments in Black–Scholes and Bachelier models.
Open-source options pricing & analytics — BSM, Black 76, Bachelier, CRR, with a FastAPI server.
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