Cash flow and analytics engine for mortgage-backed securities (MBS)
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Apr 5, 2022 - C++
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structured-products
Here are 12 public repositories matching this topic...
Web application creating PDF backtesting reports for autocalls
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Oct 12, 2018 - Python
Modular multi-asset-class Monte Carlo engine for pricing exotic derivatives and structured products with calibrated implied volatility surfaces (Heston, local vol, SVI) and a user-friendly Django web interface.
monte-carlo derivatives structured-products pricing-engine stochastic-volatility quant-finance volatility-surface local-volatility
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Dec 3, 2025 - Python
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Oct 16, 2024 - Jupyter Notebook
A vanilla and exotic options pricing repository
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Jul 31, 2025 - Jupyter Notebook
A prototype project that trains LightGBM models to approximate Monte Carlo (MC) pricing of different derivative payoffs.
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Feb 24, 2026 - Jupyter Notebook
Pseudo delta neutral strategy built on top of Rivera ALM vaults.
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Jan 23, 2024 - Solidity
Monte Carlo pricer for Athena structured products using local volatility and CIR interest rate models.
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Nov 10, 2025 - Python
Mathema Calculation Plus - Excel
monte-carlo-simulation quantitative-finance financial-library financial-mathematics derivatives-pricing options-pricing financial-modeling structured-products volatility-modeling yield-curves stochastic-volatility local-volatility fx-volatility stochastic-local-volatility ficc-derivatives fxoptions-pricing fx-volatility-surface pyxll-excel-fiancial financial-excel-template
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Sep 23, 2025 - Python
A high-performance Monte Carlo pricer for Exotic Derivatives (Asian & Barrier Options) featuring a hybrid architecture (C++17, Python/Numba, and Pybind11).
python c-plus-plus monte-carlo quantitative-finance numba pybind11 financial-engineering derivative-pricing structured-products
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Jan 24, 2026 - Python
Friktion Volts frontend — structured DeFi products on Solana (covered calls, cash-secured puts)
react typescript options blockchain yield revival solana defi structured-products graveyard-hack graveyard-hackathon
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Mar 21, 2026 - TypeScript
Construct volatility surfaces from live equity options data using no-arbitrage constraints, SVI calibration, and provide local vol, Greeks, and diagnostics.
python monte-carlo derivatives quantitative-finance black-scholes financial-engineering implied-volatility svi options-pricing structured-products pricing-engine stochastic-volatility streamlit volatility-smile quant-finance volatility-surface local-volatility arbitrage-free
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Mar 26, 2026 - Python
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