exotic-options

Building dataset of crypto markets on polymarket and cross referancing them with options data from deribit to create a accurate backtest dataset for free

Financial Engineering in IRFX in C++

A Python library for options pricing and Greeks computation.

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.

A comparative analysis of concurrency primitives in Rust for performance optimisation of a Monte Carlo exotic equity derivative pricing engine, benchmarking 8 strategies across thread utilisation, memory footprint, and convergence behaviour with a custom profiler TUI.

Monte Carlo pricer for down-and-out barrier call options under Geometric Brownian Motion. 252 discrete steps per path so the barrier is monitored properly, Mersenne Twister, early exit on breach.

Pricing of Parisian options using binomial trees and Monte Carlo simulation methods.

Monte Carlo pricing of Asian and Lookback exotic options with Euler-Maruyama simulation and Greeks analysis

Illustrative Jupyter notebooks covering yield curves, fixed income, derivatives, XVA, Monte Carlo simulation, and quantitative risk analytics.

CUDA Monte Carlo pricer and PyTorch/TensorRT neural surrogate for Asian down-and-out barrier options, including Greeks and performance benchmarks.

C#/.NET pricing framework for derivatives contracts