pymathfi

A collection of math finance experiments in python. The directory layout follows "Application with Internal Packages" from Python Application Layouts: A Reference.

Right now, the entry points to the code are run_tests.py and run_examples.py.

To-do:

• Analytical Formulae:
  • Black-Scholes Analytical Put and Call Prices
    • Test: Black-Scholes Analytical Put and Call Prices
  • Black-Scholes Analytical Put and Call Deltas
    • Test: Black-Scholes Analytical Put and Call Deltas
  • CEV Analytical Put and Call Prices
    • Test: CEV Analytical Put and Call Prices
  • CEV Analytical Put and Call Deltas
    • Test: CEV Analytical Put and Call Deltas
• Finite Difference:
  • Products:
    • European Put
    • European Call
  • Solvers:
    • 1-dimensional Theta Method
  • Models:
    • Black-Scholes
    • CEV
  • Tests:
    • 1D Theta Method, Black-Scholes, Put
    • 1D Theta Method, Black-Scholes, Call
    • 1D Theta Method, CEV, Put
    • 1D Theta Method, CEV, Call
  • Examples:
    • 1D Theta Method, Black-Scholes, Put
    • 1D Theta Method, CEV, Put
• Monte Carlo:
  • Products:
    • European Put
    • European Call
  • Solvers:
    • Crude Monte Carlo
    • Crude Monte Carlo with Targeted Accuracy
  • Models:
    • Black-Scholes
    • CEV
  • Tests:
    • Crude Monte Carlo, Black-Scholes Put
    • Crude Monte Carlo, Black-Scholes Call
  • Examples:
    • Path Simulation, Black-Scholes
      • Plot mean using gmb_rv
    • Crude Monte Carlo, Black-Scholes Put
    • Crude Monte Carlo, Black-Scholes Call