PyFE / PyFENG Star 178 Code Issues Pull requests Python Financial ENGineering (PyFENG package in PyPI.org) derivatives option-pricing quantitative-finance mathematical-finance black-scholes financial-engineering heston-model sabr-model bachelier-model Updated Jan 28, 2026 Python
Idriss-Afra / CMS-Pricing-Analytics Star 4 Code Issues Pull requests Discussions This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option. python cms jupyter-notebook option-pricing cms-framework fixed-income swaptions derivatives-pricing spread-option options-calculator vanilla-option-pricing quant-finance bachelier derivatives-pricing-models interest-rate-derivatives bachelier-model fixed-income-analytics carr-madan constant-maturity-swap Updated Mar 20, 2026 Jupyter Notebook
Idriss-Afra / Hull-White-One-Factor-Model Star 2 Code Issues Pull requests Discussions 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
vidal-llaurado / asian-curvature-suppression Star 0 Code Issues Pull requests We study the short-time behavior of the ATM implied volatility curvature for arithmetic Asian options under the stochastic volatility Bachelier model rough-volatility malliavin-calculus bachelier-model asian-options fractional-bergomi Updated Feb 26, 2026 Python