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bermudan-option

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jkirkby3 / PROJ_Option_Pricing_Matlab

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Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

options monte-carlo derivatives option-pricing quantitative-finance american-options jump-diffusion stochastic-volatility-models black-scholes fourier-transform sabr european-options levy-processes heston-model asian-option bermudan-option lookback-option variance-swap barrier-option quant-finance
  • Updated Nov 19, 2024
  • MATLAB

Idriss-Afra / Hull-White-One-Factor-Model

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This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

python jupyter-notebook derivatives model-calibration pde fixed-income swaptions hull-white pde-solver derivatives-pricing options-pricing bermudan-option options-calculator short-rates quant-finance interest-rate-derivatives bachelier-model fixed-income-analytics interest-rate-models fixed-income-modeling
  • Updated Mar 19, 2026
  • Jupyter Notebook

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