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1. mf-optimal-execution mf-optimal-execution Public

   Research code for my memoir on Mean-Field Optimal Execution. Implements and compares deep learning methods for solving Mean-Field formulations of optimal execution under price impact.

   Jupyter Notebook

2. flob flob Public

   High-performance C++ limit order book engine built for quantitative research, with microsecond-level matching, realistic order types, and strict price-time priority.

   C++

3. dbdp dbdp Public

   Deep learning schemes for solving high-dimensional nonlinear PDEs. Relying on the classical BSDE representation of PDEs.

   Jupyter Notebook

4. quant-forge quant-forge Public

   Quant Forge is an open-source Python library for quantitative finance, offering modular tools for pricing, simulation, calibration, and analysis of financial instruments.

   Python

5. Qurb Qurb Public

   A C++ game engine built from scratch.

   C++