{"repo":"finmath/finmath-lib","free":true,"listed":false,"github":"https://github.com/finmath/finmath-lib","clone":"git clone https://github.com/finmath/finmath-lib.git","description":"Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.","language":"Java","stars":581,"topics":["finmath-lib","monte-carlo-simulation","java","simulation","mathematical-modelling","quantitative-finance"],"license":"Apache-2.0","category":"trading","readme_excerpt":"About finmath lib ========== Mathematical Finance Library: Algorithms and methodologies related to mathematical finance. --- Note : As of October 12, 2025 the master branch has been renamed to main. In case you have an existing clone on master you may consider doing --- Project home page: http://finmath.net/finmath-lib The finmath lib libraries provides (JVM) implementations of methodologies related to mathematical finance, but applicable to other fields. Examples are - Analytic Formulas - Distributions: Normal, Gamma, Non-Central Chi-Squared (some functions are delegated to Apache commons-math). - Models: Black Scholes, Bachelier, SABR, ZABR, CEV, etc. - General numerical algorithms like - Generation of random numbers - Optimization (a Levenberg–Marquardt algorithm is provided) - Valuation using Fourier transforms / characteristic functions (contributed by Alessandro Gnoatto, Lorenzo Torricelli and others) - Black-Scholes model - Heston model - Bates model - Two factor Bates model - Merton model - Variance Gamma model (contributed and maintained by Alessandro Gnoatto) - Finite difference methods (contributed by Ralph Rudd and Jörg Kienitz) - Numerical schemes using finite differences - Theta-scheme - Models - Black-Scholes model - Constant Elasticity of Variance model - Products - European option - Monte-Carlo simulation of multi-dimensional, multi-factor stochastic differential equations (SDEs) - Hull-White Short Rate Model (with time dependent parameters) - LIBOR Market Mo","default_branch":null,"files":null,"tree":[],"storefront":"/r/finmath","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/finmath/finmath-lib/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."}