ito-calculus

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formal-applied-math / formal-mathfin

Formally verified mathematical finance in Lean 4. Black–Scholes/Greeks/PDE, Itô calculus, FTAP/Girsanov, CRR→BS convergence, Merton jump-diffusion.

theorem-proving formal-methods option-pricing quantitative-finance formal-verification mathematical-finance black-scholes derivatives-pricing mathlib stochastic-calculus lean4 ito-calculus

Updated Sep 19, 2026
Lean

TJT-Pro / stochastic-differential-equations

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Stochastic differential equation engine built from scratch in Python: Euler-Maruyama, Milstein scheme, empirical convergence verification, Ito's lemma, exact GBM and Ornstein-Uhlenbeck simulation. 55 tests.

python mathematics quantitative-finance stochastic-differential-equations from-scratch brownian-motion stochastic-calculus ito-calculus

Updated Sep 3, 2026
Python

SRTURK / stochastic-processes-sim

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Brownian motion, Ornstein-Uhlenbeck and coupled SDE numerical simulation; quadratic variation and mixed covariation verified numerically

python simulation quantitative-finance sde stochastic-processes ito-calculus

Updated Sep 18, 2026
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andygcui / orf335_cheatsheet

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intro to financial mathematics; spring 26

stochastic-differential-equations volatility black-scholes brownian-motion greeks feynman-kac black-scholes-model capital-asset-pricing-model markowitz-theory ito-calculus two-fund-theorem

Updated May 14, 2026
TeX

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