{"repo":"aleCombi/Hedgehog.jl","free":true,"listed":false,"github":"https://github.com/aleCombi/Hedgehog.jl","clone":"git clone https://github.com/aleCombi/Hedgehog.jl.git","description":"A derivatives pricing library with AD sensitivities and calibration","language":"Julia","stars":11,"topics":["finance","greeks","julia","monte-carlo","quantitative-finance"],"license":"MIT","category":"trading","readme_excerpt":"Hedgehog Hedgehog is a modular, SciML-inspired derivatives pricing library in Julia. 📐 Design Overview All pricing and calibration workflows follow a SciML-inspired solve(problem, method) interface. To compute a price, you define a PricingProblem using: - A payoff (e.g. European call, American put) - A set of market inputs (e.g. Black-Scholes inputs, Heston inputs) - Then solve it with a pricing method (e.g. Monte Carlo, analytical formula, Fourier inversion) ✅ Supported Payoffs - European Call / Put - American Call / Put 🧠 Supported Models (Price Dynamics) - Black-Scholes ( LognormalDynamics ) - Heston ( HestonDynamics ) ⚙️ Pricing Methods - Analytical formulas (Black-Scholes) - Binomial Trees (Cox–Ross–Rubinstein) - Monte Carlo: - Euler–Maruyama - Exact simulation (Black-Scholes, Broadie–Kaya for Heston) - Fourier methods (Carr–Madan) 📊 Calibration Hedgehog supports calibration via a unified interface: - Solve for implied volatility using CalibrationProblem - Invert volatility surfaces - Build fully calibrated RectVolSurface objects from price matrices 🧮 Sensitivities - Greeks supported via a GreekProblem interface: - Finite differences - Automatic differentiation - BatchGreekProblem to compute a full gradient of sensitivities 🚀 Highlights - Modular by construction: models, payoffs, and methods are swappable - Unified solve(problem, method) interface across pricing and calibration - Inspired by the SciML architecture and ecosystem - Built on top of SciML components (St","default_branch":null,"files":null,"tree":[],"storefront":"/r/aleCombi","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/aleCombi/Hedgehog.jl/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}