Projects in Awesome Lists tagged with levy-processes
A curated list of projects in awesome lists tagged with levy-processes .
https://github.com/cantaro86/financial-models-numerical-methods
Collection of notebooks about quantitative finance, with interactive python code.
american-options brownian-motion econometrics financial-engineering financial-mathematics fourier-inversion heston-model jump-diffusion-mertons-model jupyter-notebooks kalman-filter levy-processes linear-regression linear-systems-equations monte-carlo-methods option-pricing partial-differential-equations python quantitative-finance stochastic-differential-equations stochastic-processes
Last synced: 14 May 2025
https://github.com/cantaro86/Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
american-options brownian-motion econometrics financial-engineering financial-mathematics fourier-inversion heston-model jump-diffusion-mertons-model jupyter-notebooks kalman-filter levy-processes linear-regression linear-systems-equations monte-carlo-methods option-pricing partial-differential-equations python quantitative-finance stochastic-differential-equations stochastic-processes
Last synced: 14 Mar 2025
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/jkirkby3/fypy
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
black-scholes calibration finance fourier heston levy levy-processes option-pricing options-pricing pricing python quant quantitative-finance quantitative-trading sabr stochastic-volatility variance-gamma
Last synced: 21 May 2026
https://github.com/chicago-joe/Option-Pricing-via-Levy-Models-in-R
using the Inverse-Transform method to speed up options pricing simulations in R
algorithmic-trading computational-finance european-options financial-engineering levy-models levy-process levy-processes mathematical-finance mathematical-modelling monte-carlo-simulation monte-carlo-simulations option-pricing options-trading r r-language r-programming
Last synced: 30 Jul 2025
https://github.com/thargreaves/levyprocesses.jl
Computational methods for simulating Lévy processes written in Julia
Last synced: 20 May 2026
https://github.com/mohin-io/fractional-pdes-under-levy-models-machine-learning-for-calibrating-advanced
This project builds a fast, intelligent calibration engine for advanced asset pricing models. Standard Black-Scholes breaks down under real markets with fat tails and jumps, but Lévy models (Variance Gamma, CGMY) are too slow and unstable to calibrate with classical methods.
asset-pricing calibration cgmy cgmy-model deep-neural-networks financial-machine-learning fourier-methods fractional-pde keras levy-processes machine-learning mcmc option-pricing quantitative-finance stochastic-processes tensorflow variance-gamma variance-gamma-process variational-inference
Last synced: 09 Oct 2025
