SYS 4581 Financial Engineering Semester Project
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Dec 5, 2017 - C++
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financial-engineering
Here are 14 public repositories matching this topic...
Contagion effect in a financial network of banking institutions
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Jan 16, 2018 - C++
Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing
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Jul 4, 2018 - C++
An application used to price financial derivatives (options) via Black-Scholes and divided difference formulae. This application uses Policy-Based design and Template Metaprogramming.
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Aug 28, 2020 - C++
C++ Matrix -- High performance and accurate (e.g. edge cases) matrix math library with expression template arithmetic operators
data-science cpp matrix metaprogramming matrix-factorization statistical-analysis eigenvectors matrix-calculations eigenvalues numerical-analysis lu-decomposition qr-decomposition matrix-decompositions financial-engineering tridiagonal matrix-math-library determinant-calculation hessenberg-reduction single-value-decomposition schur-decomposition
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Apr 5, 2024 - C++
(C++) Monte Carlo Option Pricer with Euler-Maruyama Discretization
cpp monte-carlo-simulation quantitative-finance financial-engineering black-scholes-merton euler-maruyama-scheme
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Oct 2, 2024 - C++
(C++) Batch Option Pricer with Analytical and Numerical Sensitivities
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Oct 7, 2024 - C++
An options trading bot
finance options trading cpp postgresql derivatives trading-strategies hft quantitative-finance black-scholes interactive-brokers financial-engineering options-trading derivatives-pricing black-scholes-merton cpp23 black-scholes-equation black-scholes-model-application
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Jul 8, 2025 - C++
A C++ implementation of an immutable financial order book. This project demonstrates a functional approach to state management in a financial context using a copy-on-write strategy with shared pointers for efficiency.
c-plus-plus functional-programming cpp11 order-book financial-engineering immutable-data-structures trading-engine
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Oct 1, 2025 - C++
Quantitative finance library for volatility surface modelling in C++20
option-pricing ceres nlopt computational-finance financial-engineering sabr svi sabr-model quant-finance volatility-surface heston-stochastic-volatility local-volatility-model sqp-optimization stochastic-local-volatility rough-heston
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Nov 5, 2025 - C++
Derivatives modeling - volatility models
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Nov 10, 2025 - C++
Real-time FIX 4.2 market data feed simulator with GBM and Random Walk price generators, UDP multicast distribution, and live visualization dashboard
market-data libpcap fix-protocol financial-engineering trading-systems geometric-brownian-motion python-visualization udp-multicast
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Nov 20, 2025 - C++
C++ DataFrame for statistical, financial, and ML analysis in modern C++
data-science machine-learning ai cpp statistical-analysis data-analysis tensorboard trading-strategies trading-algorithms tensor statistical dataframe numerical-analysis financial-engineering multidimensional-data financial-data-analysis large-data
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Nov 28, 2025 - C++
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