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Financial Engineering in Python

Python (and other languages) implementation of financial engineering papers, managed by @jaehyukchoi

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  1. FE-R FE-R Public

    Financial Engineering in R

    R 16 4

  2. SumBSM-R SumBSM-R Public

    The R code of the "Sum of all Black-Scholes-Merton models" paper

    R 4 5

  3. InvGaussianQuad-R InvGaussianQuad-R Public

    The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"

    R 3

  4. NSVh-R NSVh-R Public

    The R code set for "Normal Stochastic Volatility Model" paper.

    2

  5. Fast-Swaption-Matlab Fast-Swaption-Matlab Public

    Matlab code for Choi & Shin (2016)

    MATLAB 1

Repositories

Showing 5 of 5 repositories
  • FE-R Public

    Financial Engineering in R

    PyFE/FE-R's past year of commit activity
    R 16 GPL-3.0 4 2 0 Updated Jun 22, 2026
  • Fast-Swaption-Matlab Public

    Matlab code for Choi & Shin (2016)

    PyFE/Fast-Swaption-Matlab's past year of commit activity
    MATLAB 0 GPL-2.0 1 0 0 Updated Apr 1, 2023
  • SumBSM-R Public

    The R code of the "Sum of all Black-Scholes-Merton models" paper

    PyFE/SumBSM-R's past year of commit activity
    R 4 MIT 5 0 0 Updated May 26, 2022
  • NSVh-R Public

    The R code set for "Normal Stochastic Volatility Model" paper.

    PyFE/NSVh-R's past year of commit activity
    0 MIT 2 0 0 Updated Feb 18, 2021
  • InvGaussianQuad-R Public

    The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"

    PyFE/InvGaussianQuad-R's past year of commit activity
    R 0 MIT 3 0 0 Updated Feb 5, 2021

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