spy-options-exp-2020-07-10-weekly-show-all-stacked-07-05-2020.csv
spy-options-exp-2021-01-15-weekly-show-all-stacked-07-05-2020.csv
1.1 Black-Scholes numerical methods.ipynb
1.2 SDE simulations and statistics.ipynb
1.3 Fourier transform methods.ipynb
1.4 SDE - Heston model.ipynb
1.5 SDE - Lévy processes.ipynb
2.1 Black-Scholes PDE and sparse matrices.ipynb
2.3 American Options.ipynb
3.1 Merton jump-diffusion, PIDE method.ipynb
3.2 Variance Gamma model, PIDE method.ipynb
3.3 Pricing with the NIG Process.ipynb
4.1 Option pricing with transaction costs.ipynb
4.2 Volatility smile and model calibration.ipynb
5.1 Linear regression - Kalman filter.ipynb
5.2 Kalman auto-correlation tracking - AR(1) process.ipynb
5.3 Volatility tracking.ipynb
6.1 Ornstein-Uhlenbeck process and applications.ipynb
A.1 Solution of linear equations.ipynb
A.2 Optimize and speed up the code. (SOR algorithm, Cython and C).ipynb
A.3 Introduction to Lévy processes and PIDEs.pdf
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