FinancialMonteCarlo.jl

Financial Module written in julia useful for MonteCarlo simulations and pricing for equity underlyings.

It supports various kind of payoffs, from Vanillas to Americans.
Contains various kind of Stochastic models varying from Ito's to Levy's.
Compatible with DifferentialEquations.jl in order to allow the direct definition of the SDE.
Compatible with DualNumbers.jl, ForwardDiff.jl and ReverseDiff.jl in order to allow sensitivity calculations.

FinancialToolbox.jl

Collection of useful financial function, written in julia, regarding Black and Scholes Model and dates management. It currently supports the following features:

Pricing and sensitivities for Black and Black Scholes models.
Implied volatilities for Black and Black Scholes models.
Year fraction conventions for the default date type.

VibratoMonteCarlo.jl

Financial Module written in julia useful for differentiation of MonteCarlo simulations.

Support for various kind of Stochastic models varying from Ito's to Levy's.
Compatible with DualNumbers.jl, ForwardDiff.jl and ReverseDiff.jl in order to allow sensitivity calculations.

xcomplex

C++ Class that generalizes the concept of complex number for generic types of Real and Imaginary parts.

It can be very useful for the aim of Automatic Differentiation for complex numbers.

It currently supports only analytical functions.

Biham Middleton Levine Model

Program that simulate the evolution of the Biham Middleton Levine model for simulating the traffic of cars in a grid.
It has been implemented in the C++ language using the following paradigms:

Standard serial.
Shared memory (OpenMP).
Distributed memory (MPI).

AlternateVectors.jl

Library that implements peculiar representations of one dimensional arrays in julia.