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

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.

A set of utilities for working with Google Video APIs.

YouTube client built with Vue, demonstrating SABR playback via YouTube.js & googlevideo

Package for option pricing and volatility calibration for index (and FX) options

VolSplinesLib is a Python library for interpolating implied volatility surfaces using various volatility models. The library provides tools for fitting and interpolating models to market data, supporting popular methods like RFV, SLV, SABR, and SVI.

SABR NelderMead volatility

Open source collection of baseball datasets

Quantitative finance library for volatility surface modelling in C++20

Multi-asset option pricing toolkit using SABR volatility model and t-Copula dependency. Includes SABR calibration with robust loss, copula fitting & model selection, and pricing of basket, range accrual, and snowball structures with Greeks analysis.

Toolkit for option market research: SABR/SVI baseline calibration, neural network volatility surface models, fast Greeks inference, and reinforcement learning agents for dynamic hedging.