├── .gitignore ├── CAPM ├── THEORY.md └── capm_implementation.py ├── LICENSE ├── README.md ├── acf-assignment ├── GeomAsianOption.m ├── GeometricAsianCall.m └── GeometricMean.m ├── algorithmic-trading └── indicators │ ├── bollinger-ATR │ ├── bollinger.py │ └── bollinger_ATR_implementation.py │ └── macd │ └── macd_implementation.py ├── amortisation ├── LICENSE ├── README.md └── amortization.py ├── automatic-differentiation ├── cpp │ └── auto_diff.cpp └── python │ └── auto_diff.py ├── binomial-methods └── python │ └── main.py ├── black-scholes ├── OptionPricing.py ├── THEORY.md ├── black_scholes_implementation.py └── monte-carlo-simulation.py ├── calibration ├── fetch_data.py ├── main.py ├── model_calibration.pdf ├── models.py └── volatility_models.py ├── cpp_implementations ├── DSA │ └── Recursion │ │ ├── demo.cpp │ │ └── gcd.cpp ├── computational_finance │ ├── BSM Calculator │ │ └── options.cpp │ ├── Binomial Pricing Model │ │ ├── american_model.cpp │ │ └── european_model.cpp │ ├── Finite Difference Methods │ │ ├── helper_functions │ │ │ ├── helper_functions.h │ │ │ └── thomas_algorithm.cpp │ │ └── vanilla_options │ │ │ ├── explicit_scheme.cpp │ │ │ └── implicit_scheme.cpp │ ├── Longstaff Schwartz │ │ ├── longstaff_schwartz.cpp │ │ └── main.cpp │ └── Monte-Carlo Simulations │ │ ├── options │ │ ├── arithmetic_asian_options.cpp │ │ ├── control_variate_asian_options.cpp │ │ └── statistics.h │ │ └── other_simulations │ │ └── simulate_pi.cpp └── computational_mathematics │ ├── Cholskey Decomposition │ └── cholskey_decomposition.cpp │ ├── LU Decomposition │ └── LU_Decomposition.cpp │ ├── Matrix Multiplication │ └── matrix_multiplication.cpp │ ├── Numerical Integration │ ├── basic_integral.cpp │ └── helper_functions.h │ ├── QR Algorithm │ └── qr_decomposition.cpp │ ├── SVD │ └── singular_value_decomposition.cpp │ └── sqrt │ └── square_root.cpp ├── delta-hedging ├── THEORY.md ├── black_scholes.py └── delta-hedging-implementation.py ├── exotic-options ├── asian_options │ └── monte-carlo-method │ │ ├── arithmetic_asian.cpp │ │ ├── arithmetic_asian.py │ │ └── statistics.hpp └── barrier_options │ ├── main.py │ └── models.py ├── finite-difference-methods ├── cpp │ ├── README.md │ ├── main.cpp │ └── src │ │ ├── csv_writer.cpp │ │ ├── csv_writer.hpp │ │ ├── helper_functions.hpp │ │ ├── pricing_engine.hpp │ │ └── thomas_algorithm.hpp └── python │ └── BSM_differential_equation │ ├── THEORY.md │ ├── main.py │ └── models.py ├── fourier-methods ├── cpp-implementation │ └── carr-madan │ │ ├── src │ │ ├── characteristic_functions.hpp │ │ ├── fourier_transform.hpp │ │ ├── helper_functions.hpp │ │ └── main.cpp │ │ └── tests │ │ └── polynomial_mult.cpp └── python-implementation │ ├── carr-madan │ └── src │ │ ├── analytical_solutions.py │ │ ├── characteristic_functions.py │ │ ├── fourier_methods.py │ │ └── main.py │ └── polynomial_multiplication │ ├── main.py │ └── polynomial_mult.py ├── geometric-asian-option ├── c++_method │ ├── gauss_legendre.hpp │ ├── helper_functions.hpp │ └── heston_analytical_solution.cpp └── python_method │ ├── analytical_solution.py │ ├── main.py │ └── models.py ├── gradient-visual ├── forward_propogation.py ├── gradient_descent.png └── main.py ├── hull-white-model ├── SOFR Data.xlsx ├── main.py └── models.py ├── implied-volatility-surface ├── impl_vol.py ├── main.py ├── option_properties.py └── volatility_surface.jpg ├── limit-order-book ├── README.md └── main.cpp ├── local-volatility ├── fetch_data.py ├── local_vol.py ├── main.py └── quantlib_implementation.py ├── longstaff-schwartz ├── control_variate.py ├── longstaff_antithetic.py └── main.py ├── machine-learning-implementations ├── README.md ├── k-means │ ├── main.py │ └── models.py ├── random_forest │ └── main.py └── regression │ ├── linear_regression │ ├── lasso │ │ └── main.py │ ├── ridge │ │ └── main.py │ └── simple_linear_regression │ │ ├── THEORY.md │ │ └── main.py │ └── logistic_regression │ ├── THEORY.md │ └── main.py ├── markowitz ├── .DS_Store ├── MATLAB-version │ ├── PortfolioOptimization.m │ ├── getMarketDataViaYahoo.m │ └── modern_portfolio_theory.m ├── modern_portfolio_theory.py └── plots │ ├── efficient-portfolio-frontier.png │ ├── optimum-investment.png │ └── stock-prices.png ├── monte-carlo-sim ├── heston_model_simulation_using_Euler_Scheme.pdf ├── main.py ├── models.py └── result_table.csv ├── neural-networks ├── ANN │ ├── __init__.py │ ├── ann.py │ └── main.py ├── nn_test.py ├── optimisation_modules │ ├── __init__.py │ ├── activation_functions.py │ ├── forward_propagation.py │ └── gradient_models.py ├── perceptron │ ├── __init__.py │ └── perceptron.py └── perceptron_test.py ├── nk-securities-hackathon └── submission.py ├── option-data └── fetch_data.py ├── parallel-computing └── monte-carlo.cpp ├── portfolio_project ├── indicators.py ├── main.py └── models.py ├── quantlib-implementation └── heston_model │ ├── Heston volatility surface for AAPL.png │ ├── main.py │ └── option_data_and_calculations.py ├── rust-implementations └── hello_word.rs ├── stress-testing ├── main.py ├── portfolio_optimiser.py └── returns_distribution.png ├── symbolic-python └── main.py ├── value-at-risk ├── VaR-Monte-Carlo-Implementation.py └── VaR-implementation.py ├── variance-reduction-methods ├── main.py └── models.py ├── vectorisation ├── linear_regression.py └── logistic_regression.py └── weiner-process ├── THEORY.md ├── geometric_brownian_motion.py └── weiner_process_implementation.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/.gitignore -------------------------------------------------------------------------------- /CAPM/THEORY.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/CAPM/THEORY.md -------------------------------------------------------------------------------- /CAPM/capm_implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/CAPM/capm_implementation.py -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/README.md -------------------------------------------------------------------------------- /acf-assignment/GeomAsianOption.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/acf-assignment/GeomAsianOption.m -------------------------------------------------------------------------------- /acf-assignment/GeometricAsianCall.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/acf-assignment/GeometricAsianCall.m -------------------------------------------------------------------------------- /acf-assignment/GeometricMean.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/acf-assignment/GeometricMean.m -------------------------------------------------------------------------------- /algorithmic-trading/indicators/bollinger-ATR/bollinger.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/algorithmic-trading/indicators/bollinger-ATR/bollinger.py -------------------------------------------------------------------------------- /algorithmic-trading/indicators/bollinger-ATR/bollinger_ATR_implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/algorithmic-trading/indicators/bollinger-ATR/bollinger_ATR_implementation.py -------------------------------------------------------------------------------- /algorithmic-trading/indicators/macd/macd_implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/algorithmic-trading/indicators/macd/macd_implementation.py -------------------------------------------------------------------------------- /amortisation/LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/amortisation/LICENSE -------------------------------------------------------------------------------- /amortisation/README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/amortisation/README.md -------------------------------------------------------------------------------- /amortisation/amortization.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/amortisation/amortization.py -------------------------------------------------------------------------------- /automatic-differentiation/cpp/auto_diff.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/automatic-differentiation/cpp/auto_diff.cpp -------------------------------------------------------------------------------- /automatic-differentiation/python/auto_diff.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /binomial-methods/python/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/binomial-methods/python/main.py -------------------------------------------------------------------------------- /black-scholes/OptionPricing.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/black-scholes/OptionPricing.py -------------------------------------------------------------------------------- /black-scholes/THEORY.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/black-scholes/THEORY.md -------------------------------------------------------------------------------- /black-scholes/black_scholes_implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/black-scholes/black_scholes_implementation.py -------------------------------------------------------------------------------- /black-scholes/monte-carlo-simulation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/black-scholes/monte-carlo-simulation.py -------------------------------------------------------------------------------- /calibration/fetch_data.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/calibration/fetch_data.py -------------------------------------------------------------------------------- /calibration/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/calibration/main.py -------------------------------------------------------------------------------- /calibration/model_calibration.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/calibration/model_calibration.pdf -------------------------------------------------------------------------------- /calibration/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/calibration/models.py -------------------------------------------------------------------------------- /calibration/volatility_models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/calibration/volatility_models.py -------------------------------------------------------------------------------- /cpp_implementations/DSA/Recursion/demo.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/DSA/Recursion/demo.cpp -------------------------------------------------------------------------------- /cpp_implementations/DSA/Recursion/gcd.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/DSA/Recursion/gcd.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/BSM Calculator/options.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/BSM Calculator/options.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Binomial Pricing Model/american_model.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Binomial Pricing Model/american_model.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Binomial Pricing Model/european_model.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Binomial Pricing Model/european_model.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Finite Difference Methods/helper_functions/helper_functions.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Finite Difference Methods/helper_functions/helper_functions.h -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Finite Difference Methods/helper_functions/thomas_algorithm.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Finite Difference Methods/helper_functions/thomas_algorithm.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Finite Difference Methods/vanilla_options/explicit_scheme.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Finite Difference Methods/vanilla_options/explicit_scheme.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Finite Difference Methods/vanilla_options/implicit_scheme.cpp: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Longstaff Schwartz/longstaff_schwartz.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Longstaff Schwartz/longstaff_schwartz.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Longstaff Schwartz/main.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Longstaff Schwartz/main.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Monte-Carlo Simulations/options/arithmetic_asian_options.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Monte-Carlo Simulations/options/arithmetic_asian_options.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Monte-Carlo Simulations/options/control_variate_asian_options.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Monte-Carlo Simulations/options/control_variate_asian_options.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Monte-Carlo Simulations/options/statistics.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Monte-Carlo Simulations/options/statistics.h -------------------------------------------------------------------------------- /cpp_implementations/computational_finance/Monte-Carlo Simulations/other_simulations/simulate_pi.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_finance/Monte-Carlo Simulations/other_simulations/simulate_pi.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/Cholskey Decomposition/cholskey_decomposition.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/Cholskey Decomposition/cholskey_decomposition.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/LU Decomposition/LU_Decomposition.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/LU Decomposition/LU_Decomposition.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/Matrix Multiplication/matrix_multiplication.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/Matrix Multiplication/matrix_multiplication.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/Numerical Integration/basic_integral.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/Numerical Integration/basic_integral.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/Numerical Integration/helper_functions.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/Numerical Integration/helper_functions.h -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/QR Algorithm/qr_decomposition.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/QR Algorithm/qr_decomposition.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/SVD/singular_value_decomposition.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/SVD/singular_value_decomposition.cpp -------------------------------------------------------------------------------- /cpp_implementations/computational_mathematics/sqrt/square_root.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/cpp_implementations/computational_mathematics/sqrt/square_root.cpp -------------------------------------------------------------------------------- /delta-hedging/THEORY.md: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /delta-hedging/black_scholes.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/delta-hedging/black_scholes.py -------------------------------------------------------------------------------- /delta-hedging/delta-hedging-implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/delta-hedging/delta-hedging-implementation.py -------------------------------------------------------------------------------- /exotic-options/asian_options/monte-carlo-method/arithmetic_asian.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/exotic-options/asian_options/monte-carlo-method/arithmetic_asian.cpp -------------------------------------------------------------------------------- /exotic-options/asian_options/monte-carlo-method/arithmetic_asian.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/exotic-options/asian_options/monte-carlo-method/arithmetic_asian.py -------------------------------------------------------------------------------- /exotic-options/asian_options/monte-carlo-method/statistics.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/exotic-options/asian_options/monte-carlo-method/statistics.hpp -------------------------------------------------------------------------------- /exotic-options/barrier_options/main.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /exotic-options/barrier_options/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/exotic-options/barrier_options/models.py -------------------------------------------------------------------------------- /finite-difference-methods/cpp/README.md: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /finite-difference-methods/cpp/main.cpp: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /finite-difference-methods/cpp/src/csv_writer.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/cpp/src/csv_writer.cpp -------------------------------------------------------------------------------- /finite-difference-methods/cpp/src/csv_writer.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/cpp/src/csv_writer.hpp -------------------------------------------------------------------------------- /finite-difference-methods/cpp/src/helper_functions.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/cpp/src/helper_functions.hpp -------------------------------------------------------------------------------- /finite-difference-methods/cpp/src/pricing_engine.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/cpp/src/pricing_engine.hpp -------------------------------------------------------------------------------- /finite-difference-methods/cpp/src/thomas_algorithm.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/cpp/src/thomas_algorithm.hpp -------------------------------------------------------------------------------- /finite-difference-methods/python/BSM_differential_equation/THEORY.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/python/BSM_differential_equation/THEORY.md -------------------------------------------------------------------------------- /finite-difference-methods/python/BSM_differential_equation/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/python/BSM_differential_equation/main.py -------------------------------------------------------------------------------- /finite-difference-methods/python/BSM_differential_equation/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/finite-difference-methods/python/BSM_differential_equation/models.py -------------------------------------------------------------------------------- /fourier-methods/cpp-implementation/carr-madan/src/characteristic_functions.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/cpp-implementation/carr-madan/src/characteristic_functions.hpp -------------------------------------------------------------------------------- /fourier-methods/cpp-implementation/carr-madan/src/fourier_transform.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/cpp-implementation/carr-madan/src/fourier_transform.hpp -------------------------------------------------------------------------------- /fourier-methods/cpp-implementation/carr-madan/src/helper_functions.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/cpp-implementation/carr-madan/src/helper_functions.hpp -------------------------------------------------------------------------------- /fourier-methods/cpp-implementation/carr-madan/src/main.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/cpp-implementation/carr-madan/src/main.cpp -------------------------------------------------------------------------------- /fourier-methods/cpp-implementation/carr-madan/tests/polynomial_mult.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/cpp-implementation/carr-madan/tests/polynomial_mult.cpp -------------------------------------------------------------------------------- /fourier-methods/python-implementation/carr-madan/src/analytical_solutions.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/python-implementation/carr-madan/src/analytical_solutions.py -------------------------------------------------------------------------------- /fourier-methods/python-implementation/carr-madan/src/characteristic_functions.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/python-implementation/carr-madan/src/characteristic_functions.py -------------------------------------------------------------------------------- /fourier-methods/python-implementation/carr-madan/src/fourier_methods.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/python-implementation/carr-madan/src/fourier_methods.py -------------------------------------------------------------------------------- /fourier-methods/python-implementation/carr-madan/src/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/python-implementation/carr-madan/src/main.py -------------------------------------------------------------------------------- /fourier-methods/python-implementation/polynomial_multiplication/main.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /fourier-methods/python-implementation/polynomial_multiplication/polynomial_mult.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/fourier-methods/python-implementation/polynomial_multiplication/polynomial_mult.py -------------------------------------------------------------------------------- /geometric-asian-option/c++_method/gauss_legendre.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/geometric-asian-option/c++_method/gauss_legendre.hpp -------------------------------------------------------------------------------- /geometric-asian-option/c++_method/helper_functions.hpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/geometric-asian-option/c++_method/helper_functions.hpp -------------------------------------------------------------------------------- /geometric-asian-option/c++_method/heston_analytical_solution.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/geometric-asian-option/c++_method/heston_analytical_solution.cpp -------------------------------------------------------------------------------- /geometric-asian-option/python_method/analytical_solution.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/geometric-asian-option/python_method/analytical_solution.py -------------------------------------------------------------------------------- /geometric-asian-option/python_method/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/geometric-asian-option/python_method/main.py -------------------------------------------------------------------------------- /geometric-asian-option/python_method/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/geometric-asian-option/python_method/models.py -------------------------------------------------------------------------------- /gradient-visual/forward_propogation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/gradient-visual/forward_propogation.py -------------------------------------------------------------------------------- /gradient-visual/gradient_descent.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/gradient-visual/gradient_descent.png -------------------------------------------------------------------------------- /gradient-visual/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/gradient-visual/main.py -------------------------------------------------------------------------------- /hull-white-model/SOFR Data.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/hull-white-model/SOFR Data.xlsx -------------------------------------------------------------------------------- /hull-white-model/main.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /hull-white-model/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/hull-white-model/models.py -------------------------------------------------------------------------------- /implied-volatility-surface/impl_vol.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/implied-volatility-surface/impl_vol.py -------------------------------------------------------------------------------- /implied-volatility-surface/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/implied-volatility-surface/main.py -------------------------------------------------------------------------------- /implied-volatility-surface/option_properties.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/implied-volatility-surface/option_properties.py -------------------------------------------------------------------------------- /implied-volatility-surface/volatility_surface.jpg: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/implied-volatility-surface/volatility_surface.jpg -------------------------------------------------------------------------------- /limit-order-book/README.md: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /limit-order-book/main.cpp: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /local-volatility/fetch_data.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/local-volatility/fetch_data.py -------------------------------------------------------------------------------- /local-volatility/local_vol.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/local-volatility/local_vol.py -------------------------------------------------------------------------------- /local-volatility/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/local-volatility/main.py -------------------------------------------------------------------------------- /local-volatility/quantlib_implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/local-volatility/quantlib_implementation.py -------------------------------------------------------------------------------- /longstaff-schwartz/control_variate.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/longstaff-schwartz/control_variate.py -------------------------------------------------------------------------------- /longstaff-schwartz/longstaff_antithetic.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/longstaff-schwartz/longstaff_antithetic.py -------------------------------------------------------------------------------- /longstaff-schwartz/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/longstaff-schwartz/main.py -------------------------------------------------------------------------------- /machine-learning-implementations/README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/README.md -------------------------------------------------------------------------------- /machine-learning-implementations/k-means/main.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /machine-learning-implementations/k-means/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/k-means/models.py -------------------------------------------------------------------------------- /machine-learning-implementations/random_forest/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/random_forest/main.py -------------------------------------------------------------------------------- /machine-learning-implementations/regression/linear_regression/lasso/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/regression/linear_regression/lasso/main.py -------------------------------------------------------------------------------- /machine-learning-implementations/regression/linear_regression/ridge/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/regression/linear_regression/ridge/main.py -------------------------------------------------------------------------------- /machine-learning-implementations/regression/linear_regression/simple_linear_regression/THEORY.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/regression/linear_regression/simple_linear_regression/THEORY.md -------------------------------------------------------------------------------- /machine-learning-implementations/regression/linear_regression/simple_linear_regression/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/regression/linear_regression/simple_linear_regression/main.py -------------------------------------------------------------------------------- /machine-learning-implementations/regression/logistic_regression/THEORY.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/regression/logistic_regression/THEORY.md -------------------------------------------------------------------------------- /machine-learning-implementations/regression/logistic_regression/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/machine-learning-implementations/regression/logistic_regression/main.py -------------------------------------------------------------------------------- /markowitz/.DS_Store: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/.DS_Store -------------------------------------------------------------------------------- /markowitz/MATLAB-version/PortfolioOptimization.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/MATLAB-version/PortfolioOptimization.m -------------------------------------------------------------------------------- /markowitz/MATLAB-version/getMarketDataViaYahoo.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/MATLAB-version/getMarketDataViaYahoo.m -------------------------------------------------------------------------------- /markowitz/MATLAB-version/modern_portfolio_theory.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/MATLAB-version/modern_portfolio_theory.m -------------------------------------------------------------------------------- /markowitz/modern_portfolio_theory.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/modern_portfolio_theory.py -------------------------------------------------------------------------------- /markowitz/plots/efficient-portfolio-frontier.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/plots/efficient-portfolio-frontier.png -------------------------------------------------------------------------------- /markowitz/plots/optimum-investment.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/plots/optimum-investment.png -------------------------------------------------------------------------------- /markowitz/plots/stock-prices.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/markowitz/plots/stock-prices.png -------------------------------------------------------------------------------- /monte-carlo-sim/heston_model_simulation_using_Euler_Scheme.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/monte-carlo-sim/heston_model_simulation_using_Euler_Scheme.pdf -------------------------------------------------------------------------------- /monte-carlo-sim/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/monte-carlo-sim/main.py -------------------------------------------------------------------------------- /monte-carlo-sim/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/monte-carlo-sim/models.py -------------------------------------------------------------------------------- /monte-carlo-sim/result_table.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/monte-carlo-sim/result_table.csv -------------------------------------------------------------------------------- /neural-networks/ANN/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/ANN/__init__.py -------------------------------------------------------------------------------- /neural-networks/ANN/ann.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/ANN/ann.py -------------------------------------------------------------------------------- /neural-networks/ANN/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/ANN/main.py -------------------------------------------------------------------------------- /neural-networks/nn_test.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/nn_test.py -------------------------------------------------------------------------------- /neural-networks/optimisation_modules/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/optimisation_modules/__init__.py -------------------------------------------------------------------------------- /neural-networks/optimisation_modules/activation_functions.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/optimisation_modules/activation_functions.py -------------------------------------------------------------------------------- /neural-networks/optimisation_modules/forward_propagation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/optimisation_modules/forward_propagation.py -------------------------------------------------------------------------------- /neural-networks/optimisation_modules/gradient_models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/optimisation_modules/gradient_models.py -------------------------------------------------------------------------------- /neural-networks/perceptron/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/perceptron/__init__.py -------------------------------------------------------------------------------- /neural-networks/perceptron/perceptron.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/perceptron/perceptron.py -------------------------------------------------------------------------------- /neural-networks/perceptron_test.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/neural-networks/perceptron_test.py -------------------------------------------------------------------------------- /nk-securities-hackathon/submission.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/nk-securities-hackathon/submission.py -------------------------------------------------------------------------------- /option-data/fetch_data.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/option-data/fetch_data.py -------------------------------------------------------------------------------- /parallel-computing/monte-carlo.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/parallel-computing/monte-carlo.cpp -------------------------------------------------------------------------------- /portfolio_project/indicators.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/portfolio_project/indicators.py -------------------------------------------------------------------------------- /portfolio_project/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/portfolio_project/main.py -------------------------------------------------------------------------------- /portfolio_project/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/portfolio_project/models.py -------------------------------------------------------------------------------- /quantlib-implementation/heston_model/Heston volatility surface for AAPL.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/quantlib-implementation/heston_model/Heston volatility surface for AAPL.png -------------------------------------------------------------------------------- /quantlib-implementation/heston_model/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/quantlib-implementation/heston_model/main.py -------------------------------------------------------------------------------- /quantlib-implementation/heston_model/option_data_and_calculations.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/quantlib-implementation/heston_model/option_data_and_calculations.py -------------------------------------------------------------------------------- /rust-implementations/hello_word.rs: -------------------------------------------------------------------------------- 1 | fn main() { 2 | println!("Hello, world!"); 3 | } 4 | -------------------------------------------------------------------------------- /stress-testing/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/stress-testing/main.py -------------------------------------------------------------------------------- /stress-testing/portfolio_optimiser.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/stress-testing/portfolio_optimiser.py -------------------------------------------------------------------------------- /stress-testing/returns_distribution.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/stress-testing/returns_distribution.png -------------------------------------------------------------------------------- /symbolic-python/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/symbolic-python/main.py -------------------------------------------------------------------------------- /value-at-risk/VaR-Monte-Carlo-Implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/value-at-risk/VaR-Monte-Carlo-Implementation.py -------------------------------------------------------------------------------- /value-at-risk/VaR-implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/value-at-risk/VaR-implementation.py -------------------------------------------------------------------------------- /variance-reduction-methods/main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/variance-reduction-methods/main.py -------------------------------------------------------------------------------- /variance-reduction-methods/models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/variance-reduction-methods/models.py -------------------------------------------------------------------------------- /vectorisation/linear_regression.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/vectorisation/linear_regression.py -------------------------------------------------------------------------------- /vectorisation/logistic_regression.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/vectorisation/logistic_regression.py -------------------------------------------------------------------------------- /weiner-process/THEORY.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/weiner-process/THEORY.md -------------------------------------------------------------------------------- /weiner-process/geometric_brownian_motion.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/weiner-process/geometric_brownian_motion.py -------------------------------------------------------------------------------- /weiner-process/weiner_process_implementation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JynxC98/quantitative_finance/HEAD/weiner-process/weiner_process_implementation.py --------------------------------------------------------------------------------