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  1. DermanPapers DermanPapers Public

    Notebooks that replicate original quantitative finance papers from Emanuel Derman

    Jupyter Notebook 506 71

  2. StatisticalConsequencesOfFatTails StatisticalConsequencesOfFatTails Public

    Python / R / Mathematica / ___ code and commentaries based on Nassim Taleb's "Statistical Consequences of Fat Tails" - Feel free to contribute

    Mathematica 90 11

  3. LimitOrderBooks LimitOrderBooks Public

    Basic Limit Order Book functions

    Jupyter Notebook 23 9

  4. Hawkes-With-Latency Hawkes-With-Latency Public

    Hawkes with Latency

    Jupyter Notebook 20 2

  5. BrazilianDerivatives BrazilianDerivatives Public

    Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"

    Jupyter Notebook 17 1

  6. Lucretius Lucretius Public

    Code and files for "Update to The Hidden Moments of a Probability Distribution"

    Mathematica 6 1