jkirkby3 Goto Github PK
Name: Justin Lars Kirkby
Type: User
Company: Voya Investment Management (former ICE/NYSE)
Bio: My name is Justin Lars Kirkby, and I specialize in quantitative finance and machine learning.
Location: Atlanta, GA
Justin Lars Kirkby's Projects
bsplinedensity
B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.
fypy
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.
proj_option_pricing_matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
pymle
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
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