Parallel Patterns Implementation of PARSEC Benchmark Applications

QLDDS - Data Distribution Service for QuantLib

European Options Pricer for Equity Index, FX, Interest Rate Swaptions and CDS Swaptions

This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.

Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD

reference implementation

This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

Mortgage Valuation, Transfer Pricing, Hedging

LaTeX source codes

ABCD demo

A Python-based framework for calibrating the Gaussian Short-Rate (GSR) interest rate model using TensorFlow and QuantLib, enabling precise and efficient swaption volatility surface fitting.

Python implementation of European swaption pricing using the Black model and forward swap rate framework.

ML | Quant Finance | Quantum Computing: Photonic Quantum Reservoir vs LSTM for swaption volatility forecasting.

Calibration of the Hull-White one-factor model on €STR data (AR(1) & MLE) and swaption pricing under three equivalent measures — Monte Carlo and Trinomial Tree.

Institutional-grade derivatives pricing and risk. Open source. IRS · Swaptions · XVA · SABR vol surface · Joint rate+vol scenarios.