Open-source Python implementations of quantitative finance models
Read the theory, explore the code, and copy what you need.
Complete implementation of the Black-Scholes framework — European option pricing, arbitrage bounds, implied volatility via Brent's method, and put-call parity.
Monte Carlo simulation under Geometric Brownian Motion with Itô correction. Terminal distributions, path simulation, and comparison against Black-Scholes analytical prices.
Cox-Ross-Rubinstein binomial tree for American and European option pricing, early exercise detection, and convergence to Black-Scholes.
Mean-variance optimization using the Markowitz framework — efficient frontier, Sharpe ratio maximization, constrained allocation, and portfolio backtesting.