Pytorch implementation of OCFGAN-GP (CVPR 2020, Oral).
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Apr 3, 2020 - Python
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characteristic-functions
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📚SDE research and modelling in Finance📚
option-pricing stochastic-differential-equations stochastic-processes european-options heston-model characteristic-functions cos-method stochastic-correlation bates-model backward-kolmogorov-equations
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Jun 3, 2024 - Jupyter Notebook
A repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.
simulation probability mathematics computational-mathematics partial-differential-equations stochastic-differential-equations computational-finance fourier-transform levy-processes characteristic-functions stochastic-volatility
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Jan 2, 2025 - MATLAB
This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.
python jupyter-notebook model-calibration stochastic-volatility-models fourier-methods heston-model options-pricing volatility-modeling characteristic-functions variance-swap stochastic-volatility options-calculator equity-derivatives quant-finance heston-stochastic-volatility volatility-swap
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Mar 20, 2026 - Jupyter Notebook
R package for estimation of the four parameters of stable distributions. The package also provides functions to compute characteristic functions and tools to run Monte Carlo simulations.
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Dec 12, 2025 - R
Python package for characteristic functions inversion
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Feb 21, 2025 - Python
High-performance Python engine implements Fourier-based option pricing, volatility surface calibration, and risk analytics. It features six stochastic models—including Heston and CGMY—ensuring martingale consistency. Utilizing Carr-Madan FFT and COS methods, it delivers precise Greeks and VaR/CVaR metrics.
python fft option-pricing quantitative-finance numerical-integration black-scholes fourier-transform financial-mathematics heston-model derivatives-pricing characteristic-functions stochastic-volatility carr-madan risk-neutral-valuation lewis-method
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Mar 14, 2026 - JavaScript
This Matlab function performs the numerical inversion of a symbolic expression representing a Characteristic function of a discrete distribution, and outputs the discrete CDF over a custom range.
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Mar 9, 2019 - MATLAB
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