Pinned Loading

1. DerivativesPricing DerivativesPricing Public

   Sixteen option pricers over six stochastic models including Heston, Bates, SABR and rough Bergomi, spanning analytic, lattice, finite-difference, COS Fourier and Monte Carlo methods.

   TeX 1

2. Orderbooks Orderbooks Public

   Header-only C++20 matching engine with strict price-time priority, an O(1) hierarchical-bitmap book, and allocation-free hot paths at a 10 ns median and 30 ns p99 submit latency.

   C++

3. Portfolio-Optimisation Portfolio-Optimisation Public

   Portfolio construction and risk library, spanning hierarchical risk parity and nested clustering over denoised covariance, convex CVaR, EVaR and CDaR programs, Student-t copula tails, and extreme-v…

   Python

4. DeepHedging DeepHedging Public

   Neural hedging policies (GRU, deep-set, no-trade-band) minimising CVaR, entropic and spectral risk under transaction costs, on fused CUDA kernels at billions of paths per second, with a deep BSDE p…

   Python