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1. MsktHMM MsktHMM Public

   Hidden Markov Model with multivariate skew-t emissions.

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2. fypy fypy Public

   Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of finan…

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3. esscher_method esscher_method Public

   Implementation of the calibration workflow described in the research article: “An Esscher-Based Algorithm For Computing Default Probabilities In Structural Lévy Models”.

   Jupyter Notebook