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fourier

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A Julia library of summation-by-parts (SBP) operators used in finite difference, Fourier pseudospectral, continuous Galerkin, and discontinuous Galerkin methods to get provably stable semidiscretizations, paying special attention to boundary conditions.

  • Updated Dec 3, 2024
  • Julia

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 financial models to market data.

  • Updated Oct 19, 2024
  • Python

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