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pyrgos icon pyrgos

Репозиторий содержит коды программного комплекса "Пиргос" (разработан в при поддержке РФФИ в рамках проекта 15-32-01390), направленного на регистрацию в ФГБУ «Федеральный институт промышленной собственности», заявление № 252062129. The repository contains the code and libraries for Pyrgos solution for market calibration, risk management and option pricing. The code and algorithms provided are invented during the research supported by RFBR grant (project 15-32-01390)

volatilityindexlevy icon volatilityindexlevy

A model-free volatility index for a class of Levy models. The code and algorithms provided are invented during the research supported by RFBR grant (project 15-32-01390)

volatylityindexlevycpp icon volatylityindexlevycpp

Репозиторий содержит коды продукта, вычисляющего индекс волатильности, свободный от модели для класса моделей Леви. Разработан в при поддержке РФФИ в рамках проекта 15-32-01390. Model-free volatility index calculation, RFBR 15-32-01390.

wh-barrier-c- icon wh-barrier-c-

written mainly in pure C, this one calculates heston barrier option much faster then the python implementation, at the cost of readability. The code and algorithms provided are invented during the research supported by RFBR grant (project 15-32-01390)

wh-barrier-python icon wh-barrier-python

mainly a pseudocode of Wiener-Hopf factorization for pricing american put in Heston model

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