leszek

QuantFinanceBook. Quantitative Finance book

Computational-Finance-Course. Here you will find materials for the course of Computational Finance

FinancialEngineering_IR_xVA. Python

PyStochasticVolatility. This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computing option price under SV.

Randomization. The RAnD Method for randomizing of Affine Diffusion processes

Daily-Coding-Problems. Programming problems for practice

StochasticCollocationSampling. Implements core SCMC components for efficient sampling from expensive distributions. Includes functions to build a moment matrix, compute collocation nodes and weights via Gauss quadrature, and perform Lagrange interpolation for mapping cheap-to-expensive distributions. Based on Grzelak et al. (2019).

RandomizationIR. MATLAB