Current Project

I am currently working on an Options Pricing calculator GUI in Java which prices options in real time (15 minute delay) by extracting the prices of the underlying asset, as well as the historical volatility over the previous year and the dividend yield, from Yahoo Finance. Some of the Options and the correspoding pricing models the calculator will support are:

European Options (Black Scholes, Heston Model, Bates Model)
American Options (Crank Nicolson, Bjerksund & Stensland, BAW)
Geometric Asian Options
Arithmetic Asian Options (Turnbull & Wakeman, Levy Approximation, Curran approximation)
Lookback Options
Barrier Options
Basket Options
Rainbow Options
Digital Options
Spread Options
Quanto
Among a few more

As well as the ability to substitute historical volatility with implied volatility based on market prices for each model.

Future releases will feature more Option types and models.

Standard Normal Random Variable Generator in C++

This is the random number generator I use for most of my programs. download

Sampling Correlated Asset Paths

The following is C++ written code which generates correlated price paths for a user defined amount of assets. download

Cholesky decomposition algorithm in C++

The Cholesky decomposition algorithm in C++ is now available. download

Matrix operations in C++

The C++ implementation of the following matrix operations are now available: matrix addition/subtration/multiplication, matrix-vector multiplication, distance between two vectors, determinant, transpose. download

Numerical differentiation in C++

Numerical differentiation algorithms in C++ using 5 point stencil formulas are now available. download

Monte Carlo Integration in C++

Code for Monte Carlo method for the approximation of integrals in one, two, and three dimensions is now available. download

Gaussian Copula in C++

A model that captures the joint behavior of two random variables using the Gaussian Copula. download

Numerical Integrator in C++

An approximation of integrals of one, two, and three variables.

European Option pricer (C++)

This is a Black Scholes C++ implementation for pricing a European option on a dividend paying stock. download