Cash flow and analytics engine for mortgage-backed securities (MBS)
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Apr 5, 2022 - C++
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structured-products
Here are 34 public repositories matching this topic...
Web application creating PDF backtesting reports for autocalls
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Oct 12, 2018 - Python
Modular multi-asset-class Monte Carlo engine for pricing exotic derivatives and structured products with calibrated implied volatility surfaces (Heston, local vol, SVI) and a user-friendly Django web interface.
monte-carlo derivatives structured-products pricing-engine stochastic-volatility quant-finance volatility-surface local-volatility
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Dec 3, 2025 - Python
Mathema Calculation Plus - Excel
monte-carlo-simulation quantitative-finance financial-library financial-mathematics derivatives-pricing options-pricing financial-modeling structured-products volatility-modeling yield-curves stochastic-volatility local-volatility fx-volatility stochastic-local-volatility ficc-derivatives fxoptions-pricing fx-volatility-surface pyxll-excel-fiancial financial-excel-template
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Sep 23, 2025 - Python
Construct volatility surfaces from live equity options data using no-arbitrage constraints, SVI calibration, and provide local vol, Greeks, and diagnostics.
python monte-carlo derivatives quantitative-finance black-scholes financial-engineering implied-volatility svi options-pricing structured-products pricing-engine stochastic-volatility streamlit volatility-smile quant-finance volatility-surface local-volatility arbitrage-free
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Aug 23, 2026 - Python
Worst-of Phoenix autocallable pricer on Euro Stoxx 50 / S&P 500 / Nikkei 225: Lewis characteristic-function Heston calibrated to the live option surface, Cholesky-correlated multi-asset Monte Carlo, memory coupons and European knock-in, fair-coupon solver and the skew premium the desk hedges.
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Aug 21, 2026 - Python
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Oct 16, 2024 - Jupyter Notebook
A vanilla and exotic options pricing repository
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Jul 31, 2025 - Jupyter Notebook
Pseudo delta neutral strategy built on top of Rivera ALM vaults.
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Jan 23, 2024 - Solidity
A prototype project that trains LightGBM models to approximate Monte Carlo (MC) pricing of different derivative payoffs.
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Aug 1, 2026 - Jupyter Notebook
Monte Carlo pricer for Athena structured products using local volatility and CIR interest rate models.
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Nov 10, 2025 - Python
WIP teaching case: price a EU retail healthcare Athena autocallable (Monte Carlo, PRIIPs, launch/revise decision). Typst sources + exhibits.
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Aug 20, 2026 - Typst
The DeFi prime broker L1 on Reth. Lending → options → structured products → institutional rails.
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Jun 3, 2026 - Rust
Instant-payment front-to-back settlement gateway: TradFi rails -> Hyperledger FireFly -> CMTAT tokens for Reverse Convertible Notes (RCN). Cross-border, multi-jurisdiction reference architecture + slide deck.
blockchain fintech solidity tokenization dlt capital-markets structured-products rwa cross-border-payments cmtat hyperledger-firefly reverse-convertible-note
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Jul 7, 2026 - Python
Pricing d'options et de produits structures : Grecques d'ordre superieur, volatilite implicite, Monte Carlo vectorise, autocalls Phoenix et delta-hedging
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Aug 6, 2026 - Python
A modular analytics framework to evaluate structured products, simulate payoff outcomes under market scenarios, and aggregate portfolio-level risk and return.
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Jun 28, 2026 - Python
Composable confidential finance on Zama FHEVM — confidential structured notes, wrapper registry, and confidential distribution. Live on Sepolia.
privacy nextjs ethereum solidity chainlink fhe defi structured-products fully-homomorphic-encryption confidential-computing zama sepolia fhevm erc7984 confidential-finance tokenops
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Jul 7, 2026 - TypeScript
Pricing coffee futures & options (cost-of-carry, Black-Scholes, Monte Carlo), structuring client products, and risk management — my solution to the Citi Markets Quantitative Analysis job simulation.
python jupyter-notebook monte-carlo-simulation quantitative-finance black-scholes risk-management derivatives-pricing options-pricing structured-products forage
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Jul 9, 2026 - Jupyter Notebook
Option pricing, volatility modelling, EUR OIS bootstrapping and callable structured-bond valuation in MATLAB.
monte-carlo matlab derivatives option-pricing quantitative-finance yield-curve fixed-income black-scholes implied-volatility credit-risk structured-products
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Aug 15, 2026 - MATLAB
Multi-model tranche pricing of Paris residential rental cash flows: Gaussian / Student-t / Cox copulas, Vasicek short rate, Andersen-Sidenius-Basu waterfall, antithetic + Sobol Monte Carlo. Working paper, dashboard, full reproducibility.
real-estate python latex monte-carlo quantitative-finance copula cdo credit-risk structured-products vasicek tranche-pricing
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May 24, 2026 - Python
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