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fourier-inversion

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cantaro86 / Financial-Models-Numerical-Methods

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Collection of notebooks about quantitative finance, with interactive python code.

python linear-regression econometrics partial-differential-equations option-pricing quantitative-finance jupyter-notebooks stochastic-differential-equations american-options kalman-filter stochastic-processes monte-carlo-methods financial-engineering financial-mathematics levy-processes heston-model brownian-motion jump-diffusion-mertons-model fourier-inversion linear-systems-equations
  • Updated Oct 22, 2024
  • Jupyter Notebook

boztosunmelis-digi / Stochastic-Jump-Pricer-2026

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Fullstack Bates (1996) Option Pricing Engine: A high-performance engine utilising Inverse Fourier Transforms for real-time calibration and Euler-Maruyama Monte Carlo for path projections. Optimised for 2026-2027 market volatility regimes and jump-diffusion dynamics.

numpy plotly python3 calibration scipy monte-carlo-simulation quantitative-finance algorithmic-trading stochastic-differential-equations jump-diffusion optimisation risk-management derivative-pricing fourier-inversion stochastic-volatility euler-maruyama bates-model carr-madan-fft
  • Updated Apr 8, 2026
  • Python

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