{"repo":"rcalxrc08/FinancialMonteCarlo.jl","free":true,"listed":false,"github":"https://github.com/rcalxrc08/FinancialMonteCarlo.jl","clone":"git clone https://github.com/rcalxrc08/FinancialMonteCarlo.jl.git","description":"Julia Package for Financial Monte Carlo Simulations","language":"Julia","stars":25,"topics":["pricing-derivatives","quantitative-finance","julia","monte-carlo"],"license":"MIT","category":"trading","readme_excerpt":"FinancialMonteCarlo.jl This is a Julia package containing some useful Financial function for Pricing and Risk Management for Equity products. It currently contains the following capabilities: - Support for the following Single Name Models: - Black Scholes - Kou - Merton - Normal Inverse Gaussian - Variance Gamma - Heston - LogNormal Mixture - Shifted LogNormal Mixture - Support for Multivariate processes through Gaussian Copula - Support for non costant zero rates and dividends - Support for the following Option families: - European Options - Barrier Options - Asian Options - Bermudan Options (Using Longstaff-Schwartz) - American Options (Using Longstaff-Schwartz) - Partial Support for the following Parallelization: - CUDA using CUDA.jl - Thread based (Native julia) - Process based (Native julia) It also supports the pricing directly from the definition of the Stochastic Differential Equation, using the package DifferentiatialEquations.jl. Currently supports DualNumbers.jl, HyperDualNumbers.jl, TaylorSeries.jl, ForwardDiff.jl and ReverseDiff.jl for Automatic Differentiation (where it makes sense). How to Install To install the package simply type on the Julia REPL the following: How to Test After the installation, to test the package type on the Julia REPL the following: Hello World: Pricing European Call Option in Black Scholes Model The following example shows how to price a european call option with underlying varying according to the Black Scholes Model, given the volatil","default_branch":null,"files":null,"tree":[],"storefront":"/r/rcalxrc08","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/rcalxrc08/FinancialMonteCarlo.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."}