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Voya Investment Management (former ICE/NYSE)
- Atlanta, GA
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fypy Public
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 finan…
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PROJ_Option_Pricing_Matlab Public
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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pymle Public
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
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BsplineDensity Public
B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.