AQFED.jl

Julia package for the book Applied Quantitative Finance for Equity Derivatives

Installation

A simple way to get started is to clone the repository, start julia from the AQFED folder, type ] to enter the package environment and do

(v1.5) pkg> activate .

Then ESC or CTRL+C to exit the pkg env.

Available Modules

• Implied Volatility Solver: fast and robust solvers to find the Black-Scholes implied volatility corresponding to a given option price.
• Piecewise-Lognormal Model (also known as spot model) for cash dividends: fast and accurate approximations.
• American Option Pricing: Andersen-Lake technique.
• Basket Option Pricing: Curran approximations, which may also be reused to price Asian options or vanilla options in the piecewise-lognormal model.
• Collocation: fit market implied vols via stochastic collocation.
• Bachelier: Bachelier formula and corresponding implied vol "solver".
• Random Number Generators: good pseudo and quasi random number generators.