Quantitative Methods in Finance (QMF)

This repository contains the pedagogical and replication code for the lecture notes Quantitative Methods in Finance, developed by Eric Vansteenberghe over more than ten years of teaching at Université Paris 1 Panthéon-Sorbonne, within the Master Finance, Technology & Data.

The lecture notes are currently available on SSRN and will be released on arXiv shortly. This GitHub repository serves as the executable companion, providing transparent and reproducible implementations of the methods introduced in the notes.

Repository structure

QMF/
├── code/
│   └── variables_functions_an_introduction/
│       └── vansteenberghe_types_loops_functions.py

• code/ contains one folder per chapter or major section of the lecture notes.
• Each folder includes self-contained Python scripts illustrating the concepts developed in the corresponding chapter.

Usage

Create the Python environment:

conda env create -f environment.yml

Activate the environment:

conda activate qmf

Run any script independently, for example:

python code/variables_functions_an_introduction/vansteenberghe_types_loops_functions.py

Some sections (e.g. performance comparisons) are intended for interactive use and are better explored in IPython or Jupyter.

License

• Code: MIT License
• Lecture notes: academic preprint (SSRN / arXiv forthcoming)

Citation

If you use this material for teaching or research, please cite the lecture notes:

@article{vansteenberghe2025quantitative,
  title   = {Quantitative Methods in Finance},
  author  = {Vansteenberghe, Eric},
  journal = {Available at SSRN 5178205},
  year    = {2025}
}