A Python library for evaluating option trading strategies.

• UpdatedApr 25, 2025
• Python

Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)

• UpdatedSep 10, 2021
• C++

Differentiable Programming Algorithms in Modern C++

• UpdatedJun 23, 2025
• LLVM

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

• UpdatedOct 5, 2022
• Jupyter Notebook

state of the art C++ pseudo-random number generator library for sequential and parallel Monte Carlo simulations

• UpdatedNov 23, 2024
• C++

using the Inverse-Transform method to speed up options pricing simulations in R

• UpdatedJul 10, 2025
• HTML

An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

• UpdatedJun 7, 2020
• R

Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

• UpdatedOct 5, 2022

Collection of projects oriented around the computational finance domain.

• UpdatedDec 30, 2018
• C++

Stock Market Prediction on High-Frequency Data Using soft computing based AI models

• UpdatedSep 6, 2024
• Jupyter Notebook

Python implementation of the basic model described in Chan, Nicholas Tung, and Christian Shelton. "An electronic market-maker."

• UpdatedAug 27, 2023
• Python

Portfolio optimization package in Python.

• UpdatedFeb 20, 2020
• Python

Scala OrderBook Reconstructor for high-frequency order-flow data

• UpdatedAug 27, 2023
• Scala

Predictive analysis of the OLMAR algorithm

• UpdatedDec 30, 2016
• Jupyter Notebook

• UpdatedDec 19, 2019
• MATLAB

A collection of assignment submissions from the 2021/22 MSc Computational Finance Course.

• UpdatedJan 3, 2023
• TeX

JASA is a high-performance auction simulator written in JAVA. It is designed for performing experiments in agent-based computational economics.

• UpdatedAug 29, 2023
• Java

robo-advisor is a quantitative analysis script written in Python that generates the least volatile portfolio given a list of stocks, with the goal of a 0% return.

• UpdatedNov 14, 2023
• Jupyter Notebook

This repository contains some of the implementations related to my master thesis under supervision of Prof Josef Teichmann at ETH Zurich.

• UpdatedJun 22, 2021
• Jupyter Notebook

Course material for Mathematical and Computational Finance 1

• UpdatedJan 2, 2018
• TeX