Building dataset of crypto markets on polymarket and cross referancing them with options data from deribit to create a accurate backtest dataset for free
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Feb 19, 2026 - Python
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exotic-options
Here are 10 public repositories matching this topic...
Financial Engineering in IRFX in C++
cmake python-bindings curve-construction pybind11 monte-carlo-methods derivative-pricing hull-white lmm sabr-model stochastic-volatility interest-rate-derivatives exotic-options hjm
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Mar 1, 2024 - Jupyter Notebook
A Python library for options pricing and Greeks computation.
python options numpy monte-carlo-simulation option-pricing quantitative-finance numerical-methods stochastic-differential-equations stochastic-processes black-scholes computational-finance financial-engineering binomial-tree pde-solver derivatives-pricing finite-difference-method longstaff-schwartz barrier-options exotic-options asian-options
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May 16, 2026 - Jupyter Notebook
Worst-of Phoenix autocallable pricer on Euro Stoxx 50 / S&P 500 / Nikkei 225: Lewis characteristic-function Heston calibrated to the live option surface, Cholesky-correlated multi-asset Monte Carlo, memory coupons and European knock-in, fair-coupon solver and the skew premium the desk hedges.
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Jul 16, 2026 - Python
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.
rust aws benchmarking concurrency multithreading tui tokio cloud-computing monte-carlo-simulation performance-analysis profiling quantitative-finance rayon work-stealing derivatives-pricing async-rust equity-derivatives exotic-options ratatui
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May 6, 2026 - Rust
Monte Carlo pricing of Asian and Lookback exotic options with Euler-Maruyama simulation and Greeks analysis
python monte-carlo jupyter-notebook derivatives quantitative-finance greeks options-pricing exotic-options
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Jun 1, 2026 - Jupyter Notebook
Pricing of Parisian options using binomial trees and Monte Carlo simulation methods.
python monte-carlo-methods binomial-trees derivatives-pricing-models exotic-options quantitative-finance-option-pricing
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Jul 15, 2026 - Python
Illustrative Jupyter notebooks covering yield curves, fixed income, derivatives, XVA, Monte Carlo simulation, and quantitative risk analytics.
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Jun 2, 2026 - Jupyter Notebook
CUDA Monte Carlo pricer and PyTorch/TensorRT neural surrogate for Asian down-and-out barrier options, including Greeks and performance benchmarks.
machine-learning monte-carlo cuda pytorch high-performance-computing gpu-computing option-pricing quantitative-finance tensorrt financial-engineering onnx exotic-options
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Jul 14, 2026 - Python
C#/.NET pricing framework for quantitative finance
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Jul 16, 2026 - C#
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