Quantitative Finance Guide

A rigorous skill for applying quantitative methods to financial research, covering derivatives pricing, portfolio optimization, risk modeling, and time series econometrics. Designed for academic researchers and quantitative analysts.

Derivatives Pricing

Black-Scholes-Merton Model

The foundational model for European option pricing:

import numpy as np
from scipy.stats import norm

def black_scholes(S: float, K: float, T: float, r: float,
                   sigma: float, option_type: str = 'call') -> dict:
    """
    Black-Scholes European option pricing.