gitextract_wk7icysq/

├── .flake8
├── .github/
│   └── FUNDING.yml
├── .gitignore
├── 1.1 Black-Scholes numerical methods.ipynb
├── 1.2 SDE simulations and statistics.ipynb
├── 1.3 Fourier transform methods.ipynb
├── 1.4 SDE - Heston model.ipynb
├── 1.5 SDE - Lévy processes.ipynb
├── 2.1 Black-Scholes PDE and sparse matrices.ipynb
├── 2.2 Exotic options.ipynb
├── 2.3 American Options.ipynb
├── 3.1 Merton jump-diffusion, PIDE method.ipynb
├── 3.2 Variance Gamma model, PIDE method.ipynb
├── 3.3 Pricing with the NIG Process.ipynb
├── 4.1 Option pricing with transaction costs.ipynb
├── 4.2 Volatility smile and model calibration.ipynb
├── 5.1 Linear regression - Kalman filter.ipynb
├── 5.2 Kalman auto-correlation tracking - AR(1) process.ipynb
├── 5.3 Volatility tracking.ipynb
├── 6.1 Ornstein-Uhlenbeck process and applications.ipynb
├── 7.1 Classical MVO.ipynb
├── A.1 Solution of linear equations.ipynb
├── A.2 Optimize and speed up the code. (SOR algorithm, Cython and C).ipynb
├── CITATION.cff
├── Dockerfile
├── LICENSE
├── README.md
├── data/
│   ├── historical_data.csv
│   ├── spy-options-exp-2020-07-10-weekly-show-all-stacked-07-05-2020.csv
│   ├── spy-options-exp-2021-01-15-weekly-show-all-stacked-07-05-2020.csv
│   └── stocks_data.csv
├── docker-compose.yml
├── environment.yml
├── latex/
│   ├── A.3 Introduction to Lévy processes and PIDEs.bbl
│   └── A.3 Introduction to Lévy processes and PIDEs.tex
├── list_of_packages.txt
├── pyproject.toml
├── requirements.txt
├── setup.py
└── src/
    ├── C/
    │   ├── BS_SOR_main.c
    │   ├── BS_sor
    │   ├── Makefile
    │   ├── PDE_solver.c
    │   ├── PDE_solver.h
    │   ├── SOR.c
    │   ├── SOR.h
    │   └── mainSOR.c
    └── FMNM/
        ├── BS_pricer.py
        ├── CF.py
        ├── FFT.py
        ├── Heston_pricer.py
        ├── Kalman_filter.py
        ├── Merton_pricer.py
        ├── NIG_pricer.py
        ├── Parameters.py
        ├── Processes.py
        ├── Solvers.py
        ├── TC_pricer.py
        ├── VG_pricer.py
        ├── __init__.py
        ├── cost_utils.py
        ├── cython/
        │   ├── __init__.py
        │   ├── heston.pyx
        │   └── solvers.pyx
        ├── portfolio_optimization.py
        └── probabilities.py