FranklinMa810 / Baruch-MFE-Credit-Risk-ModelingLinks
☆16Updated 8 years ago
Alternatives and similar repositories for Baruch-MFE-Credit-Risk-Modeling
Users that are interested in Baruch-MFE-Credit-Risk-Modeling are comparing it to the libraries listed below
Sorting:
- ☆17Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆15Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Baruch course - Market Microstructure☆13Updated 9 years ago
- Options Pricing using Finite Difference Methods☆14Updated 8 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Homework for Baruch C++ Programming for Financial Engineering Course☆29Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- NYU Tandon lecture slides☆30Updated 3 weeks ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Baruch MFE program quant lab☆9Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- ☆50Updated 7 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆28Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 5 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆21Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Baruch MFE MTH9894☆12Updated 8 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago