Financial Derivatives Calculator with 171+ Models (Options Calculator)

Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

The project aims to compare the effectiveness of the Heston model and WGAN-GP in modeling financial time series data.

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

Heston model implementation with Monte Carlo simulation for stochastic volatility pricing.Implementation of the Heston Stochastic Volatility Model in Python along with it's Monte Carlo Simulation

Sixteen option pricers over six stochastic models including Heston, Bates, SABR and rough Bergomi, spanning analytic, lattice, finite-difference, COS Fourier and Monte Carlo methods.

Options pricing done to a quant standard: Black-Scholes + full Greeks, implied-vol solver, binomial/American, Monte-Carlo, exotics (Asian/Barrier/American-LSM), Heston stochastic vol (Fourier + MC) and an SVI surface — validated to ~1e-10 against published references. With a Streamlit dashboard.

Python volatility-surface research engine for SPY option-chain cleaning, SABR/Heston calibration, robustness testing, cross-snapshot validation, and failure-mode analysis.

Synthetic financial time series with known ground truth — GBM, Heston, Merton jumps, GARCH, regime-switching. Stress-test ML/RL models before deploying.

FFT, Monte Carlo, and finite difference

Dynamic Collar Hedging — PFE ECE Paris × EY Paris. Multi-models pricing (Black-Scholes, Heston, Hull-White, SABR), Greeks engine, backtesting, FastAPI + React.

High-performance options pricing library in C++ — Black-Scholes, Heston, SABR, local vol, finite difference PDE solvers

Deep Hedging under market frictions.