This project is a quantitative finance library providing implementations of numerical methods for financial engineering. It focuses on derivative pricing, portfolio optimization, stochastic simulation, and volatility calibration.
The library includes tools for calculating option values using Monte Carlo simulations, binomial trees, and Fourier inversion. It provides a framework for fitting volatility smiles to market data and a simulation engine for generating asset price paths via geometric Brownian motion and jump-diffusion models.
The codebase covers broader numerical analysis capabilities, including solvers for partial differential equations, linear equation system solvers, and tools for mean-variance portfolio optimization using quadratic programming. It also includes utilities for cleaning market data and tracking real-time volatility through noise-reduction filters.
The implementation is provided as a collection of interactive notebooks and code.
