Numerical Methods
Derivatives Pricing Engine
An object-oriented engine pricing vanilla and exotic options across six stochastic processes, with analytic, lattice, finite-difference, Fourier, and Monte Carlo methods and a Streamlit dashboard.
Prices vanilla, American, Asian, barrier, and basket options across GBM, Heston, Bates, SABR, local-volatility, and rough-Bergomi processes, each self-registering through a pricer and process registry.
Combines analytic and Fourier-COS pricers, batched binomial trees, Crank-Nicolson, explicit, and implicit finite differences, and Monte Carlo with Longstaff-Schwartz exercise and a multilevel variant.
Computes Greeks by analytic vectors, pathwise and likelihood-ratio Monte Carlo, lattice, and common-random-number bumping, with Numba JIT warmup on the hot paths.