Projects in Awesome Lists tagged with jump-diffusion

A curated list of projects in awesome lists tagged with jump-diffusion .

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https://github.com/jkirkby3/PROJ_Option_Pricing_Matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

american-options asian-option barrier-option bermudan-option black-scholes derivatives european-options fourier-transform heston-model jump-diffusion levy-processes lookback-option monte-carlo option-pricing options quant-finance quantitative-finance sabr stochastic-volatility-models variance-swap

Last synced: 21 May 2026

https://github.com/sciml/jumpprocesses.jl

Build and simulate jump equations like Gillespie simulations and jump diffusions with constant and state-dependent rates and mix with differential equations and scientific machine learning (SciML)

differential-equations gillespie hybrid-differential-equation jump-diffusion neural-differential-equations neural-ode ode scientific-ai scientific-machine-learning scientific-ml sciml sde ssa stochastic stochastic-jump-equations

Last synced: 01 Mar 2026

https://github.com/lrydin/jumpdiff

JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python

conditional-moments diffusion-term estimator jump-amplitude jump-diffusion jump-rate kramers-moyal non-parametric python stochastic-processes

Last synced: 01 Jul 2025

https://github.com/lockwo/jumpax

Jump Processes in JAX

gillespie jax jump-diffusion ode scientific-machine-learning ssa

Last synced: 18 Jan 2026

https://github.com/ferrangarciarovira/var-volatility-models

Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion, SABR and rough volatility.

black-scholes financial-modeling jump-diffusion python quantitative-finance rough-volatility value-at-risk volatility volatility-modeling