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Idriss-Afra / CMS-Pricing-Analytics

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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 hagan carr-madan constant-maturity-swap
  • Updated Mar 20, 2026
  • Jupyter Notebook

FelipeCardozo0 / Fourier-Based-Characteristic-Function-Methods-for-Risk-Neutral-Option-Pricing

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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
  • Updated Mar 14, 2026
  • JavaScript

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