Scientific Computing For Tomorrow's Market

Options & Futures

Options and Futures represent two of the most common form of "Derivatives". Derivatives are financial instruments that derive their value from an 'underlying'. The underlying can be a stock issued by a company, a currency, Gold etc.

Some modules releted to Options & Futures models are implementated from the research papers published in top financial conferences like “Quant Congress Europe / USA” in recent years.

Time dependent heston model

Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps

Series Expansion of the SABR Joint Density

Optimal Hedging of Variance Derivatives

Black Scholes Option Pricing